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José Da Fonseca

Observed names: Da Fonseca, Da Fonseca, José, JOSÉ DA FONSECA, Jose Da Fonseca, Jose da Fonseca, Joss Da Fonseca, JosÉ Da Fonseca, José da Fonseca
Observed institutions: École Centrale Paris, Sorbonne Université, Auckland University of Technology, Ecole Supérieure d'Ingénieurs Léonard de Vinci, PRISM Sorbonne, Université Paris 1 Panthéon-Sorbonne
ORCID: 0000-0002-6882-4511
Observed ORCID: 0000-0002-6882-4511
OpenAlex ID: A5035617757
Dynamics of implied volatility surfaces
2002 · Rama Cont, José da Fonseca · Quantitative Finance · 432
A multifactor volatility Heston model
2008 · JosÉ Da Fonseca, Martino Grasselli, et al. · Quantitative Finance · 206
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Option pricing when correlations are stochastic: an analytical framework
2007 · José Da Fonseca, Martino Grasselli, et al. · Review of Derivatives Research · 206
Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit
2013 · José Da Fonseca, Riadh Zaatour · Journal of Futures Markets · 128
Riding on the smiles
2011 · José da Fonseca, Martino Grasselli · Quantitative Finance · 120
Stochastic Models of Implied Volatility Surfaces
2002 · Rama Cont, Jose da Fonseca, et al. · Economic Notes · 92
Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function
2013 · José Da Fonseca, Martino Grasselli, et al. · Studies in Nonlinear Dynamics and Econometrics · 41
Hedging (co)variance Risk With Variance Swaps
2011 · JOSÉ DA FONSECA, MARTINO GRASSELLI, et al. · International Journal of Theoretical and Applied Finance · 34
The α -hypergeometric stochastic volatility model
2015 · José Da Fonseca, Claude Martini · Stochastic Processes and their Applications · 32
Estimating the Wishart Affine Stochastic Correlation Model Using the Empirical Characteristic Function
2007 · José Da Fonseca, Martino Grasselli, et al. · SSRN Electronic Journal · 30
Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market
2018 · José Da Fonseca, Katja Ignatieva · Journal of Banking & Finance · 28
Clustering and Mean Reversion in a Hawkes Microstructure Model
2014 · José Da Fonseca, Riadh Zaatour · Journal of Futures Markets · 24
The Co‐Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asia‐Pacific Markets
2018 · José Da Fonseca, Katrin Gottschalk · International Review of Finance · 22
Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market
2016 · José Da Fonseca, Katja Ignatieva, et al. · Energy Economics · 22
Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition
2017 · José Da Fonseca, Yahua Xu · Energy Economics · 21
Volatility of volatility is (also) rough
2019 · José Da Fonseca, Wenjun Zhang · Journal of Futures Markets · 20
Valuing variable annuity guarantees on multiple assets
2015 · José Da Fonseca, Jonathan Ziveyi · Scandinavian Actuarial Journal · 20
Volatility spillovers and connectedness among credit default swap sector indexes
2018 · José Da Fonseca, Katja Ignatieva · Applied Economics · 19
Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models
2015 · José Da Fonseca, Alessandro Gnoatto, et al. · Operations Research Letters · 18
Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model
2016 · José Da Fonseca, Riadh Zaatour · Journal of Futures Markets · 17
A Joint Analysis of the Term Structure of Credit Default Swap Spreads and the Implied Volatility Surface
2013 · José Da Fonseca, Katrin Gottschalk · Journal of Futures Markets · 17
Deformation of implied volatility surfaces: an empirical analysis
2002 · Rama Cont, José da Fonseca · Springer eBooks · 17
On Moment Non-Explosions for Wishart-Based Stochastic Volatility Models
2016 · José Da Fonseca · European Journal of Operational Research · 16
A joint analysis of market indexes in credit default swap, volatility and stock markets
2015 · José Da Fonseca, Peiming Wang · Applied Economics · 15
Pricing range notes within Wishart affine models
2014 · Carl Chiarella, José Da Fonseca, et al. · Insurance Mathematics and Economics · 15
Works count: 47
Citation count: 1,703
H-index: 18
I10-index: 29
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