José Da Fonseca

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Pricing and hedging of variable annuities with path-dependent guarantee in Wishart stochastic volatility models Insurance Mathematics & Economics	2025-07-10	Paper
Pricing guaranteed annuity options in a linear-rational Wishart mortality model Insurance Mathematics & Economics	2024-03-21	Paper
A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy Journal of Economic Dynamics and Control	2021-11-16	Paper
Dynamics of implied volatility surfaces Quantitative Finance	2019-01-14	Paper
Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models Operations Research Letters	2018-09-28	Paper
Valuing variable annuity guarantees on multiple assets Scandinavian Actuarial Journal	2018-07-13	Paper
On moment non-explosions for Wishart-based stochastic volatility models European Journal of Operational Research	2016-10-07	Paper
A flexible matrix Libor model with smiles Journal of Economic Dynamics and Control	2016-10-05	Paper
The -hypergeometric stochastic volatility model Stochastic Processes and their Applications	2016-04-04	Paper
Estimating the Wishart affine stochastic correlation model using the empirical characteristic function Studies in Nonlinear Dynamics & Econometrics	2016-01-19	Paper
Pricing range notes within Wishart affine models Insurance Mathematics & Economics	2015-01-28	Paper
Riding on the smiles Quantitative Finance	2013-12-13	Paper
Hedging (co)variance risk with variance swaps International Journal of Theoretical and Applied Finance	2011-11-22	Paper
A multifactor volatility Heston model Quantitative Finance	2008-11-18	Paper
Option pricing when correlations are stochastic: an analytical framework Review of Derivatives Research	2008-05-06	Paper

Research outcomes over time

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