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Stochastic models of implied volatility surfaces

Cont, Rama; Fonseca, José Nicolau da; Durrleman, Valdo - In: Economic notes : economic review of Banca Monte dei … 31 (2002) 2, pp. 361-377

Persistent link: https://www.econbiz.de/10001676006

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

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

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

A joint analysis of the term structure of credit default swap spreads and the implied volatility surface

Fonseca, José da; Gottschalk, Katrin - In: The journal of futures markets 33 (2013) 6, pp. 494-517

Persistent link: https://www.econbiz.de/10009756569

On moment non-explosions for Wishart-based stochastic volatility models

Fonseca, José da - In: European journal of operational research : EJOR 254 (2016) 3, pp. 889-894

Persistent link: https://www.econbiz.de/10011521879

Cross-hedging strategies between CDS spreads and option volatility during crises

Fonseca, José da; Gottschalk, Katrin - In: Journal of international money and finance 49 (2014), pp. 386-400

Persistent link: https://www.econbiz.de/10010464998

Jump activity analysis for affine jump-diffusion models : evidence from the commodity market

Fonseca, José da; Ignatieva, Ekaterina - In: Journal of banking & finance 99 (2019), pp. 45-62

Persistent link: https://www.econbiz.de/10012162294

Valuing variable annuity guarantees on multiple assets

Fonseca, José da; Ziveyi, Jonathan - In: Scandinavian actuarial journal (2017) 3, pp. 209-230

Persistent link: https://www.econbiz.de/10011772102

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 multifactor stochastic volatility models by adopting the Fast Fourier Transform as the pricing methodology. We study the impact of the penalizing function on the calibration performance...

Persistent link: https://www.econbiz.de/10013133070