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Stochastic models of implied volatility surfaces

Cont, Rama; Fonseca, José 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

Stochastic Models of Implied Volatility Surfaces

Cont, Rama - 2003

We propose a market-based approach to the modelling of implied volatility, in which the implied volatility surface is directly used as the state variable to describe the joint evolution of market prices of options and their underlying asset. We model the evolution of an implied volatility...

Persistent link: https://www.econbiz.de/10012740400

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

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

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

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

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

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

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

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