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~person:"Da Fonseca, José"
~subject:"Anlageverhalten"
~subject:"Risiko"
~subject:"Volatility"
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THREE-POINT VOLATILITY SMILE C...
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Da Fonseca, José
Smales, Lee A.
31
Bali, Turan G.
29
McAleer, Michael
27
Cui, Zhenyu
22
Prokopczuk, Marcel
21
Madan, Dilip B.
14
Manera, Matteo
14
Ryu, Doojin
14
Guyon, Julien
13
Todorov, Viktor
12
Caglayan, Mustafa Onur
11
Chang, Chia-Lin
11
Csóka, Péter
11
Härdle, Wolfgang
11
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11
Leippold, Markus
11
Wese Simen, Chardin
11
Caporin, Massimiliano
10
Christoffersen, Peter
10
Fodor, Andy
10
Jacobs, Kris
10
Miao, Hong
10
Ricciardi, Victor
10
Bekaert, Geert
9
Bergomi, Lorenzo
9
Brown, Gregory W.
9
Kanniainen, Juho
9
Kyle, Albert S.
9
Marabel Romo, Jacinto
9
Martini, Claude
9
Ramchander, Sanjay
9
Skiadopoulos, George
9
Tsekrekos, Andrianos E.
9
Zhang, Jin E.
9
Zhou, Hao
9
Aboura, Sofiane
8
Bakshi, Gurdip
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Riding on the Smiles
Da Fonseca, José
-
2011
Using a data set of vanilla
options
on the major indexes we investigate the calibration properties of several … Fonseca et al. (2007b), which provides a natural framework for pricing basket
options
while keeping the stylized smile … basket
options
…
Persistent link: https://www.econbiz.de/10013133070
Saved in:
2
On Moment Non-Explosions for Wishart-Based Stochastic Volatility Models
Da Fonseca, José
-
2018
This paper provides a result on moment non-explosions for a stock following a Wishart multidimensional stochastic volatility dynamic or a Wishart affine stochastic correlation dynamic when the parameter values satisfy certain constraints. By reformulating the stock dynamic in terms of the...
Persistent link: https://www.econbiz.de/10012936555
Saved in:
3
Variance and Skew Risk Premiums for the Volatility Market : The VIX Evidence
Da Fonseca, José
-
2017
We extract variance and skew risk premiums from volatility derivatives in a model-free way and analyze their relationships along with volatility index and equity index returns. These risk premiums can be synthesized through option trading strategies. Using a time series of option prices on the...
Persistent link: https://www.econbiz.de/10012968712
Saved in:
4
Explaining Credit Default Swap Spreads by Means of Realized Jumps and Volatilities in the Energy Market
Da Fonseca, José
-
2015
This paper studies the relationship between credit default swap spreads (CDS) for the Energy sector and oil futures dynamics. Using data on light sweet crude oil futures from 2004 to 2013, which contains a crisis period, we examine the importance of volatility and jumps extracted from the...
Persistent link: https://www.econbiz.de/10013026577
Saved in:
5
Jump Activity Analysis for Affine Jump-Diffusion Models : Evidences from the Commodity Market
Da Fonseca, José
-
2016
The objective of this paper is to perform a joint analysis of jump activity for commodities and their respective volatility indices. Exploiting the property that for affine jump-diffusion models a volatility index, which is quoted on the market, is an affine function of the instantaneous...
Persistent link: https://www.econbiz.de/10012993290
Saved in:
6
Higher Moment Risk Premiums for the Crude Oil Market : A Downside and Upside Conditional Decomposition
Da Fonseca, José
-
2017
Relying on
options
written on the USO, an exchange traded fund tracking the daily price changes of the WTI light sweet …
Persistent link: https://www.econbiz.de/10012966894
Saved in:
7
Cross-Hedging Strategies between CDS Spreads and Option Volatility during Crises
Da Fonseca, José
;
Gottschalk, Katrin
-
2023
This paper presents a joint analysis of the term structure of credit default swap (CDS) spreads and the implied volatility surface for European countries during 2007-2012, a sample period covering both the Global Financial Crisis and the European debt crisis. We analyze to which extent...
Persistent link: https://www.econbiz.de/10014254191
Saved in:
8
A Joint Analysis of the Term Structure of Credit Default Swap Spreads and the Implied Volatility Surface
Da Fonseca, José
;
Gottschalk, Katrin
-
2023
.Using time series of
options
and CDS curves for the U.S. and European markets, we find that the credit market is the main …
Persistent link: https://www.econbiz.de/10014254192
Saved in:
9
The Co-movement of Credit Default Swap Spreads, Stock Market Returns and Volatilities : Evidence from Asia-Pacific Markets
Da Fonseca, José
;
Gottschalk, Katrin
-
2023
We study the co-movement of credit and equity markets in four Asia-Pacific countries at firmand index level. First, we establish realized volatility as an important determinant of CDS spreadlevels and changes. Second, we examine lead-lag relationships between CDS spreads, volatility and stock...
Persistent link: https://www.econbiz.de/10014254493
Saved in:
10
The α-Hypergeometric Stochastic Volatility Model
Da Fonseca, José
;
Martini, Claude
-
2014
vanilla European
options
as well as of volatility derivatives. We clarify the conditions under which the stock price is a …
Persistent link: https://www.econbiz.de/10014142255
Saved in:
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