José Da Fonseca

Available identifiers

Publication	Date of Publication	Type
Pricing guaranteed annuity options in a linear-rational Wishart mortality model	2024-03-21	Paper
A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy	2021-11-16	Paper
Dynamics of implied volatility surfaces	2019-01-14	Paper
Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models	2018-09-28	Paper
Valuing variable annuity guarantees on multiple assets	2018-07-13	Paper
On moment non-explosions for Wishart-based stochastic volatility models	2016-10-07	Paper
A flexible matrix Libor model with smiles	2016-10-05	Paper
The \(\alpha\)-hypergeometric stochastic volatility model	2016-04-04	Paper
Estimating the Wishart affine stochastic correlation model using the empirical characteristic function	2016-01-19	Paper
Pricing range notes within Wishart affine models	2015-01-28	Paper
Riding on the smiles	2013-12-13	Paper
HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS	2011-11-22	Paper
A multifactor volatility Heston model	2008-11-18	Paper
Option pricing when correlations are stochastic: an analytical framework	2008-05-06	Paper

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