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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

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

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

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

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

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

A Joint Analysis of the Term Structure of Credit Default Swap Spreads and the Implied Volatility Surface

Fonseca, José da; Gottschalk, Katrin - 2023

This paper presents a joint analysis of the term structure of credit default swap (CDS) spreads and the implied volatility surface. The rapid development of the CDS market has provided convenient products to extract credit risk, and its interaction with equity volatility has been analyzed in...

Persistent link: https://www.econbiz.de/10014254192

Pricing and hedging of variable annuities with path-dependent guarantee in Wishart stochastic volatility models

Fonseca, José da; Wong, Patrick - In: Insurance : mathematics and economics 123 (2025), pp. 1-14

Persistent link: https://www.econbiz.de/10015432101