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Publications

by members of

Auckland University of Technology → Faculty of Business, Economics and Law → Auckland Centre for Financial Research

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles |

Working papers

2026

  1. Jose Da Fonseca & Patrick Wong, 2026, "Wishart conditional tail risk measures: An analytic approach," Papers, arXiv.org, number 2602.06401, Feb.
  2. Jose Da Fonseca & Patrick Wong, 2026, "Joint survival annuity derivative valuation in the linear-rational Wishart mortality model," Papers, arXiv.org, number 2602.06415, Feb.

2023

  1. José da Fonseca & Edem Dawui & Yannick Malevergne, 2023, "A Linear-Rational Multi-Curve Term Structure Model with Stochastic Spread," Working Papers, HAL, number hal-04012277, Mar, DOI: 10.2139/ssrn.4176102.

2021

  1. José da Fonseca & Yannick Malevergne, 2021, "A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy," Post-Print, HAL, number halshs-03590382, Jul, DOI: 10.1016/j.jedc.2021.104137.

2014

  1. Jos'e Da Fonseca & Claude Martini, 2014, "The $\alpha$-Hypergeometric Stochastic Volatility Model," Papers, arXiv.org, number 1409.5142, Sep.

2012

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

Journal articles

2025

  1. Da Fonseca, José & Wong, Patrick, 2025, "Pricing and hedging of variable annuities with path-dependent guarantee in Wishart stochastic volatility models," Insurance: Mathematics and Economics, Elsevier, volume 123, issue C, DOI: 10.1016/j.insmatheco.2025.103114.

2024

  1. Da Fonseca, José, 2024, "Pricing guaranteed annuity options in a linear-rational Wishart mortality model," Insurance: Mathematics and Economics, Elsevier, volume 115, issue C, pages 122-131, DOI: 10.1016/j.insmatheco.2024.01.004.

2021

  1. Da Fonseca, José & Malevergne, Yannick, 2021, "A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy," Journal of Economic Dynamics and Control, Elsevier, volume 128, issue C, DOI: 10.1016/j.jedc.2021.104137.
  2. José Da Fonseca & Edem Dawui, 2021, "Semivariance and semiskew risk premiums in currency markets," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 41, issue 3, pages 290-324, March, DOI: 10.1002/fut.22160.

2020

  1. José Da Fonseca & Katrin Gottschalk, 2020, "The Co‐Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asia‐Pacific Markets," International Review of Finance, International Review of Finance Ltd., volume 20, issue 3, pages 551-579, September, DOI: 10.1111/irfi.12237.

2019

  1. Da Fonseca, José & Ignatieva, Katja, 2019, "Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market," Journal of Banking & Finance, Elsevier, volume 99, issue C, pages 45-62, DOI: 10.1016/j.jbankfin.2018.11.014.
  2. José Da Fonseca & Yahua Xu, 2019, "Variance and skew risk premiums for the volatility market: The VIX evidence," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 39, issue 3, pages 302-321, March, DOI: 10.1002/fut.21968.
  3. José Da Fonseca & Wenjun Zhang, 2019, "Volatility of volatility is (also) rough," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 39, issue 5, pages 600-611, May, DOI: 10.1002/fut.21995.

2018

  1. José Da Fonseca & Katja Ignatieva, 2018, "Volatility spillovers and connectedness among credit default swap sector indexes," Applied Economics, Taylor & Francis Journals, volume 50, issue 36, pages 3923-3936, August, DOI: 10.1080/00036846.2018.1430344.

2017

  1. Da Fonseca, José & Xu, Yahua, 2017, "Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition," Energy Economics, Elsevier, volume 67, issue C, pages 410-422, DOI: 10.1016/j.eneco.2017.08.024.
  2. José Da Fonseca & Jonathan Ziveyi, 2017, "Valuing variable annuity guarantees on multiple assets," Scandinavian Actuarial Journal, Taylor & Francis Journals, volume 2017, issue 3, pages 209-230, March, DOI: 10.1080/03461238.2015.1102167.
  3. José Da Fonseca & Riadh Zaatour, 2017, "Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 37, issue 3, pages 260-285, March.

2016

  1. Da Fonseca, José, 2016, "On moment non-explosions for Wishart-based stochastic volatility models," European Journal of Operational Research, Elsevier, volume 254, issue 3, pages 889-894, DOI: 10.1016/j.ejor.2016.04.042.
  2. Da Fonseca, José & Ignatieva, Katja & Ziveyi, Jonathan, 2016, "Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market," Energy Economics, Elsevier, volume 56, issue C, pages 215-228, DOI: 10.1016/j.eneco.2016.03.022.
  3. Da Fonseca, José & Martini, Claude, 2016, "The α-hypergeometric stochastic volatility model," Stochastic Processes and their Applications, Elsevier, volume 126, issue 5, pages 1472-1502, DOI: 10.1016/j.spa.2015.11.010.
  4. José Da Fonseca & Peiming Wang, 2016, "A joint analysis of market indexes in credit default swap, volatility and stock markets," Applied Economics, Taylor & Francis Journals, volume 48, issue 19, pages 1767-1784, April, DOI: 10.1080/00036846.2015.1109036.

2015

  1. José Da Fonseca & Riadh Zaatour, 2015, "Clustering and Mean Reversion in a Hawkes Microstructure Model," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 35, issue 9, pages 813-838, September.

2014

  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, volume 18, issue 3, pages 253-289, May, DOI: 10.1515/snde-2012-0009.
  2. Chiarella, Carl & Da Fonseca, José & Grasselli, Martino, 2014, "Pricing range notes within Wishart affine models," Insurance: Mathematics and Economics, Elsevier, volume 58, issue C, pages 193-203, DOI: 10.1016/j.insmatheco.2014.07.008.
  3. Da Fonseca, José & Gottschalk, Katrin, 2014, "Cross-hedging strategies between CDS spreads and option volatility during crises," Journal of International Money and Finance, Elsevier, volume 49, issue PB, pages 386-400, DOI: 10.1016/j.jimonfin.2014.03.010.
  4. 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., volume 34, issue 6, pages 548-579, June.

2013

  1. Da Fonseca, José & Gnoatto, Alessandro & Grasselli, Martino, 2013, "A flexible matrix Libor model with smiles," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 4, pages 774-793, DOI: 10.1016/j.jedc.2012.11.006.
  2. 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., volume 33, issue 6, pages 494-517, June.

2011

  1. José da Fonseca & Martino Grasselli, 2011, "Riding on the smiles," Quantitative Finance, Taylor & Francis Journals, volume 11, issue 11, pages 1609-1632, DOI: 10.1080/14697688.2011.615218.
  2. 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., volume 14, issue 06, pages 899-943, DOI: 10.1142/S0219024911006784.

2008

  1. JosE Da Fonseca & Martino Grasselli & Claudio Tebaldi, 2008, "A multifactor volatility Heston model," Quantitative Finance, Taylor & Francis Journals, volume 8, issue 6, pages 591-604, DOI: 10.1080/14697680701668418.

2007

  1. José Fonseca & Martino Grasselli & Claudio Tebaldi, 2007, "Option pricing when correlations are stochastic: an analytical framework," Review of Derivatives Research, Springer, volume 10, issue 2, pages 151-180, May, DOI: 10.1007/s11147-008-9018-x.

2002

  1. Rama Cont & Jose da Fonseca & Valdo Durrleman, 2002, "Stochastic Models of Implied Volatility Surfaces," Economic Notes, Banca Monte dei Paschi di Siena SpA, volume 31, issue 2, pages 361-377, July.
  2. Rama Cont & Jose da Fonseca, 2002, "Dynamics of implied volatility surfaces," Quantitative Finance, Taylor & Francis Journals, volume 2, issue 1, pages 45-60, DOI: 10.1088/1469-7688/2/1/304.

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