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Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models
Fonseca, José da; Gnoatto, Alessandro; Grasselli, Martino - In: Operations research letters 43 (2015) 6, pp. 601-607
Persistent link: https://www.econbiz.de/10011416324
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Assortment optimization over time
Fonseca, José da; Gnoatto, Alessandro; Grasselli, Martino - In: Operations research letters 43 (2015) 6, pp. 608-611
Persistent link: https://www.econbiz.de/10011416325
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Hedging (co)variance risk with variance swaps
Fonseca, José da; Grasselli, Martino; Ielpo, Florian - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 899-943
Persistent link: https://www.econbiz.de/10009380996
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Estimating the Wishart Affine Stochastic Correlation model using the empirical characteristic function
Fonseca, José da; Grasselli, Martino; Ielpo, Florian - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 3, pp. 253-289
Persistent link: https://www.econbiz.de/10010384289
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Option pricing when correlations are stochastic : an analytical framework
Fonseca, José da; Grasselli, Martino; Tebaldi, Claudio - In: Review of derivatives research 10 (2007) 2, pp. 151-180
Persistent link: https://www.econbiz.de/10003705867