Access Statistics for José DA FONSECA

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Linear-Rational Multi-Curve Term Structure Model with Stochastic Spread 0 0 0 0 1 1 9 18
A flexible matrix Libor model with smiles 0 0 0 9 0 1 17 100
A linear-rational multi-curve term structure model with stochastic spread 0 0 0 0 0 0 8 9
A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy 0 0 0 7 0 0 4 14
Joint survival annuity derivative valuation in the linear-rational Wishart mortality model 0 0 0 0 0 0 2 2
The $\alpha$-Hypergeometric Stochastic Volatility Model 0 0 0 51 2 2 8 52
Wishart conditional tail risk measures: An analytic approach 0 0 10 10 1 1 5 5
Total Working Papers 0 0 10 77 4 5 53 200

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Joint Analysis of the Term Structure of Credit Default Swap Spreads and the Implied Volatility Surface 0 0 0 0 1 1 4 53
A flexible matrix Libor model with smiles 0 0 0 7 16 19 27 102
A joint analysis of market indexes in credit default swap, volatility and stock markets 0 0 0 12 1 2 11 47
A multifactor volatility Heston model 0 0 1 239 2 3 14 545
A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy 0 0 0 1 0 0 10 21
Clustering and Mean Reversion in a Hawkes Microstructure Model 0 0 0 11 0 3 14 77
Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model 0 0 1 9 0 2 6 30
Cross-hedging strategies between CDS spreads and option volatility during crises 0 0 0 31 0 2 17 176
Dynamics of implied volatility surfaces 3 6 17 128 12 36 93 485
Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function 0 0 2 37 0 3 18 138
Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market 0 0 0 14 0 1 20 77
HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS 0 0 1 3 0 0 13 29
Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit 0 1 3 56 0 1 12 133
Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition 1 1 1 10 1 4 12 67
Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market 0 0 2 17 0 2 22 74
On moment non-explosions for Wishart-based stochastic volatility models 0 0 0 4 0 0 30 48
Option pricing when correlations are stochastic: an analytical framework 0 0 1 103 0 0 9 279
Pricing and hedging of variable annuities with path-dependent guarantee in Wishart stochastic volatility models 0 0 2 2 0 1 14 14
Pricing guaranteed annuity options in a linear-rational Wishart mortality model 0 0 1 2 1 16 31 39
Pricing range notes within Wishart affine models 0 0 0 8 1 3 12 66
Riding on the smiles 0 1 1 5 0 1 8 24
Semivariance and semiskew risk premiums in currency markets 0 0 1 6 0 0 6 26
Stochastic Models of Implied Volatility Surfaces 0 1 2 12 0 1 14 52
The Co‐Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asia‐Pacific Markets 0 0 1 7 1 3 33 56
The α-hypergeometric stochastic volatility model 0 0 0 6 0 0 6 40
Valuing variable annuity guarantees on multiple assets 0 0 1 2 0 0 13 15
Variance and skew risk premiums for the volatility market: The VIX evidence 0 0 0 7 0 1 21 54
Volatility of volatility is (also) rough 0 0 0 7 0 0 11 57
Volatility spillovers and connectedness among credit default swap sector indexes 0 0 0 4 1 1 5 22
Total Journal Articles 4 10 38 750 37 106 506 2,846

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Statistics updated 2026-09-10