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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
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Pricing guaranteed annuity options in a linear-rational Wishart mortality model
Fonseca, José da - In: Insurance : mathematics and economics 115 (2024), pp. 122-131
Persistent link: https://www.econbiz.de/10015066733
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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
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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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Clustering and mean reversion in a Hawkes microstructure model
Fonseca, José da; Zaatour, Riadh - In: The journal of futures markets 35 (2015) 9, pp. 813-838
Persistent link: https://www.econbiz.de/10011392661
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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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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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Hawkes process : fast calibration, application to trade clustering, and diffuse limit
Fonseca, José da; Zaatour, Riadh - In: The journal of futures markets 34 (2014) 6, pp. 548-579
Persistent link: https://www.econbiz.de/10010371413
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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