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Da Fonseca, José
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1
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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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
Saved in:
7
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
Saved in:
8
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
Saved in:
9
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
Saved in:
10
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
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