José Da Fonseca

Auckland University of Technology - Faculty of Business & Law

3 Wakefield Street

Private Bag 92006

Auckland Central 1020

New Zealand

SCHOLARLY PAPERS

20

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CITATIONS
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in Total Papers Citations

62

Scholarly Papers (20)

1.

Option Pricing When Correlations are Stochastic: An Analytical Framework

Number of pages: 25 Posted: 24 Apr 2007
José Da Fonseca, Martino Grasselli and Claudio Tebaldi
Auckland University of Technology - Faculty of Business & Law, University of Padova - Department of Mathematics and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 1,328 (13,743)
Citation 8

Abstract:

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Wishart processes, Best-of Basket option, Stochastic Correlation, FFT

2.

Stochastic Models of Implied Volatility Surfaces

Economic Notes, Vol. 31, No. 2, July 2002
Number of pages: 16 Posted: 28 Apr 2003
Rama Cont, Valdo Durrleman and José Da Fonseca
University of Oxford, Princeton University - Department of Operations Research and Financial Engineering and Auckland University of Technology - Faculty of Business & Law
Downloads 1,064 (19,269)
Citation 43

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Implied volatility, volatility risk, risk management, portfolios of options

3.

Estimating the Wishart Affine Stochastic Correlation Model Using the Empirical Characteristic Function

Number of pages: 47 Posted: 06 Dec 2007 Last Revised: 24 Jan 2017
José Da Fonseca, Martino Grasselli and Florian Ielpo
Auckland University of Technology - Faculty of Business & Law, University of Padova - Department of Mathematics and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 796 (29,334)
Citation 4

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Wishart Process, Empirical Characteristic Function, Stochastic Correlation

4.
Downloads 779 ( 30,230)
Citation 3

Hedging (Co)Variance Risk with Variance Swaps

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 46 Posted: 04 Mar 2008 Last Revised: 24 Jan 2017
José Da Fonseca, Martino Grasselli and Florian Ielpo
Auckland University of Technology - Faculty of Business & Law, University of Padova - Department of Mathematics and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 549 (47,636)
Citation 3

Abstract:

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Wishart Affine Stochastic Correlation model, complete and incomplete markets, variance swaps, optimal portfolio choice

Hedging (Co)Variance Risk with Variance Swaps

Number of pages: 46 Posted: 19 Feb 2009
José Da Fonseca, Florian Ielpo and Martino Grasselli
Auckland University of Technology - Faculty of Business & Law, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and University of Padova - Department of Mathematics
Downloads 230 (129,959)
Citation 3

Abstract:

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Wishart Affine Stochastic Correlation model, complete and incomplete markets, variance swaps, optimal portfolio choice with derivatives

5.

Hawkes Process: Fast Calibration, Application to Trade Clustering and Diffusive Limit

Number of pages: 42 Posted: 15 Jul 2013 Last Revised: 05 Aug 2013
José Da Fonseca and Riadh Zaatour
Auckland University of Technology - Faculty of Business & Law and Ecole Centrale Paris
Downloads 667 (37,360)

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Hawkes process, calibration, high-frequency data, trade clustering, diffusive limit

6.

Riding on the Smiles

Number of pages: 52 Posted: 24 Aug 2010 Last Revised: 09 Feb 2011
José Da Fonseca and Martino Grasselli
Auckland University of Technology - Faculty of Business & Law and University of Padova - Department of Mathematics
Downloads 639 (39,481)
Citation 3

Abstract:

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calibration, implied volatility, Wishart stochasic volatility, FFT, stochastic skew

7.

Clustering and Mean Reversion in a Hawkes Microstructure Model

Forthcoming The Journal of Futures Markets
Number of pages: 31 Posted: 22 Apr 2014 Last Revised: 20 Jul 2015
José Da Fonseca and Riadh Zaatour
Auckland University of Technology - Faculty of Business & Law and Ecole Centrale Paris
Downloads 232 (129,335)

Abstract:

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Hawkes process, Clustering and Mean reversion, Volatility, Diffusive limit, Market Impact

8.

Variance and Skew Risk Premiums for the Volatility Market: The VIX Evidence

Number of pages: 30 Posted: 20 Jul 2016 Last Revised: 14 Aug 2017
José Da Fonseca and Yahua Xu
Auckland University of Technology - Faculty of Business & Law and Central University of Finance and Economics (CUFE) - China Economics and Management Academy
Downloads 212 (141,066)

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VIX option market, variance swap, skew swap, risk premiums

9.

Correlation and Lead-Lag Relationships in a Hawkes Microstructure Model

Number of pages: 38 Posted: 08 Oct 2014 Last Revised: 12 Mar 2016
José Da Fonseca and Riadh Zaatour
Auckland University of Technology - Faculty of Business & Law and Ecole Centrale Paris
Downloads 196 (151,824)

Abstract:

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Hawkes process, Lead-Lag relationship, Correlation, Diffusive limit, High Frequency data

10.

Analytic Pricing of Volatility-Equity Options within Affine Models: An Efficient Conditioning Technique

Number of pages: 26 Posted: 24 Apr 2014 Last Revised: 16 Jan 2015
José Da Fonseca, Alessandro Gnoatto and Martino Grasselli
Auckland University of Technology - Faculty of Business & Law, University of Verona - Department of Economics and University of Padova - Department of Mathematics
Downloads 162 (179,841)

Abstract:

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Finance, Target Volatility Options, Corridor Variance Swap, Double Digital Call, Affine Stochastic Volatility Models

11.

Higher Moment Risk Premiums for the Crude Oil Market: A Downside and Upside Conditional Decomposition

Asian Finance Association (AsianFA) 2017 Conference
Number of pages: 41 Posted: 22 Dec 2016 Last Revised: 02 Sep 2017
José Da Fonseca and Yahua Xu
Auckland University of Technology - Faculty of Business & Law and Central University of Finance and Economics (CUFE) - China Economics and Management Academy
Downloads 95 (269,214)

Abstract:

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Crude Oil Market; Variance Risk Premium; Skew Risk Premium; Conditional Risk Premiums; Forecasting

12.

Pricing Range Notes within Wishart Affine Models

Number of pages: 36 Posted: 11 Aug 2013 Last Revised: 04 Jan 2014
Carl Chiarella, José Da Fonseca and Martino Grasselli
University of Technology, Sydney - UTS Business School, Finance Discipline Group, Auckland University of Technology - Faculty of Business & Law and University of Padova - Department of Mathematics
Downloads 92 (274,759)
Citation 1

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affine term structure models, Wishart models, Range Accrual Notes, model risk

13.

Jump Activity Analysis for Affine Jump-Diffusion Models: Evidences from the Commodity Market

Number of pages: 33 Posted: 01 May 2016
José Da Fonseca and Katja Ignatieva
Auckland University of Technology - Faculty of Business & Law and University of New South Wales - Australian School of Business
Downloads 82 (295,127)

Abstract:

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Affine jump-diffusion models, Volatility indices, Jump activity, Model specification

14.

A Flexible Matrix Libor Model with Smiles

Number of pages: 34 Posted: 23 Mar 2012
Alessandro Gnoatto, Martino Grasselli and José Da Fonseca
University of Verona - Department of Economics, University of Padova - Department of Mathematics and Auckland University of Technology - Faculty of Business & Law
Downloads 80 (299,457)

Abstract:

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Affine processes, Wishart process, Libor market model, Fast Fourier Transform, Caps, Floors, Swaptions

15.

Explaining Credit Default Swap Spreads by Means of Realized Jumps and Volatilities in the Energy Market

UNSW Business School Research Paper No. 2015ACTL05
Number of pages: 36 Posted: 13 Mar 2015 Last Revised: 01 Oct 2015
José Da Fonseca, Katja Ignatieva and Jonathan Ziveyi
Auckland University of Technology - Faculty of Business & Law, University of New South Wales - Australian School of Business and UNSW Australia
Downloads 58 (355,929)

Abstract:

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Oil futures, CDS spread, realized jumps, realized volatility

16.

The α-Hypergeometric Stochastic Volatility Model

Number of pages: 24 Posted: 19 Sep 2014
José Da Fonseca and Claude Martini
Auckland University of Technology - Faculty of Business & Law and Zeliade Systems
Downloads 57 (358,977)

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Equity stochastic volatility models, Volatility derivatives, European option pricing.

17.

Semivariance and Semiskew Risk Premiums in Currency Markets

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 53 Posted: 27 Jan 2018 Last Revised: 25 Aug 2018
José Da Fonseca and Edem Dawui
Auckland University of Technology - Faculty of Business & Law and World Bank
Downloads 51 (377,713)

Abstract:

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Variance risk premium, Skew risk premium, Semi-measures, Currency risk premium

18.

On Moment Non-Explosions for Wishart-Based Stochastic Volatility Models

Number of pages: 15 Posted: 23 Jan 2016 Last Revised: 25 Apr 2018
José Da Fonseca
Auckland University of Technology - Faculty of Business & Law
Downloads 36 (432,392)

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Moment non-explosions, Wishart multidimensional stochastic volatility model, Wishart affine stochastic correlation model

19.

Valuing Variable Annuity Guarantees on Multiple Assets

Scandinavian Actuarial Journal, 2015, DOI:10.1080/03461238.2015.1102167
Posted: 25 Nov 2015
Jonathan Ziveyi and José Da Fonseca
UNSW Australia and Auckland University of Technology - Faculty of Business & Law

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mortality risk, variable annuity, stochastic volatility risk, correlation risk, multiple assets, European option

20.

Dynamics of Implied Volatility Surfaces

Quantitative Finance, Vol. 2, No. 1, 2002
Posted: 11 Jan 2002
Rama Cont and José Da Fonseca
University of Oxford and Auckland University of Technology - Faculty of Business & Law

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Implied volatility, options, volatility risk, stochastic volatility, principal component analysis, random field, factor model