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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

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

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

Correlation and lead-lag relationships in a Hawkes microstructure model

Fonseca, José da; Zaatour, Riadh - In: The journal of futures markets 37 (2017) 3, pp. 260-285

Persistent link: https://www.econbiz.de/10011669809

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

Correlation and Lead-Lag Relationships in a Hawkes Microstructure Model

Da Fonseca, José - 2016

The aim of this paper is to develop a multi-asset model based on the Hawkes process describing the evolution of assets at high frequency and to study the lead-lag relationship as well as the correlation between the stocks within this framework. Thanks to its strong analytical tractability...

Persistent link: https://www.econbiz.de/10013005817