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Dynamics of Implied Volatility...
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Volatility
Theorie
70
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69
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45
Option pricing theory
33
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33
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25
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25
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12
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12
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Cont, Rama
20
Fonseca, José da
15
Da Fonseca, José
10
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5
Grasselli, Martino
5
Gnoatto, Alessandro
3
Ignatieva, Ekaterina
3
Vuletić, Milena
3
Zaatour, Riadh
3
Ziveyi, Jonathan
3
Deguest, Romain
2
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2
Kokholm, Thomas
2
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2
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1
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1
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1
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1
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1
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1
Hamida, Sana Ben
1
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1
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1
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1
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1
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Mathematical finance : an international journal of mathematics, statistics and financial theory
4
The journal of futures markets
3
Applied economics
2
Applied mathematical finance
2
Economic notes : economic review of Banca Monte dei Paschi di Siena
1
Energy economics
1
European journal of operational research : EJOR
1
Finance and stochastics
1
International journal of theoretical and applied finance
1
Journal of banking & finance
1
Journal of international money and finance
1
Long memory in economics : with 50 tables
1
Macroeconomic dynamics
1
Operations research letters
1
Scandinavian actuarial journal
1
The journal of computational finance
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UNSW Business School Research Paper
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Wiley finance series
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ECONIS (ZBW)
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1
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
Saved in:
2
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:
3
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:
4
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:
5
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
Saved in:
6
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
Saved in:
7
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:
8
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:
9
Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market
Fonseca, José da
;
Ignatieva, Ekaterina
;
Ziveyi, Jonathan
- In:
Energy economics
56
(
2016
),
pp. 215-228
Persistent link: https://www.econbiz.de/10011664232
Saved in:
10
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
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