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José Da Fonseca

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This is information that was supplied by José Da Fonseca in registering through RePEc. If you are José Da Fonseca , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: José
Middle Name:
Last Name: Da Fonseca
Suffix:

RePEc Short-ID: pda421

Email:
Homepage: http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=296739
Postal Address:
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Affiliation

Department of Finance
Faculty of Business
Auckland University of Technology
Location: Auckland, New Zealand
Homepage: http://www.aut.ac.nz/study-at-aut/study-areas/business/research/research-areas/finance
Email:
Phone: +64 9 917-9721
Fax: +64 9 917-9976
Postal: Commerce House, 360 Queen Street, Private Bag 92006, Auckland 1020
Handle: RePEc:edi:dfautnz (more details at EDIRC)

Works

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Working papers

  1. Jos\'e Da Fonseca & Alessandro Gnoatto & Martino Grasselli, 2012. "A flexible matrix Libor model with smiles," Papers, arXiv.org 1203.4786, arXiv.org.

Articles

  1. Da Fonseca José & Grasselli Martino & Ielpo Florian, 2014. "Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, De Gruyter, vol. 18(3), pages 37, May.
  2. José Da Fonseca & Riadh Zaatour, 2014. "Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit," Journal of Futures Markets, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 34(6), pages 548-579, 06.
  3. José Da Fonseca & Katrin Gottschalk, 2013. "A Joint Analysis of the Term Structure of Credit Default Swap Spreads and the Implied Volatility Surface," Journal of Futures Markets, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 33(6), pages 494-517, 06.
  4. Da Fonseca, José & Gnoatto, Alessandro & Grasselli, Martino, 2013. "A flexible matrix Libor model with smiles," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 37(4), pages 774-793.
  5. José Da Fonseca & Martino Grasselli & Florian Ielpo, 2011. "Hedging (Co)Variance Risk With Variance Swaps," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., World Scientific Publishing Co. Pte. Ltd., vol. 14(06), pages 899-943.
  6. JosE Da Fonseca & Martino Grasselli & Claudio Tebaldi, 2008. "A multifactor volatility Heston model," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 8(6), pages 591-604.
  7. José Fonseca & Martino Grasselli & Claudio Tebaldi, 2007. "Option pricing when correlations are stochastic: an analytical framework," Review of Derivatives Research, Springer, Springer, vol. 10(2), pages 151-180, May.
  8. Rama Cont & Jose da Fonseca, 2002. "Dynamics of implied volatility surfaces," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 2(1), pages 45-60.

NEP Fields

1 paper by this author was announced in NEP, and specifically in the following field reports (number of papers):
  1. No paper was announced in a field specific NEP report

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