Details about José DA FONSECA

Access statistics for papers by José DA FONSECA.

Last updated 2026-07-14. Update your information in the RePEc Author Service.

Short-id: pda421

Working Papers

2026

1. Joint survival annuity derivative valuation in the linear-rational Wishart mortality model
   Papers, arXiv.org
2. Wishart conditional tail risk measures: An analytic approach
   Papers, arXiv.org View citations (1)

2024

3. A linear-rational multi-curve term structure model with stochastic spread
   Working Papers, HAL
   Also in Working Papers, HAL (2023)

2021

4. A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy
   Post-Print, HAL View citations (3)
   See also Journal Article A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy, Journal of Economic Dynamics and Control, Elsevier (2021) View citations (3) (2021)

2014

5. The $\alpha$-Hypergeometric Stochastic Volatility Model
   Papers, arXiv.org

2012

6. A flexible matrix Libor model with smiles
   Papers, arXiv.org
   See also Journal Article A flexible matrix Libor model with smiles, Journal of Economic Dynamics and Control, Elsevier (2013) View citations (10) (2013)

Journal Articles

2025

1. Pricing and hedging of variable annuities with path-dependent guarantee in Wishart stochastic volatility models
   Insurance: Mathematics and Economics, 2025, 123, (C)

2024

2. Pricing guaranteed annuity options in a linear-rational Wishart mortality model
   Insurance: Mathematics and Economics, 2024, 115, (C), 122-131 View citations (2)

2021

3. A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy
   Journal of Economic Dynamics and Control, 2021, 128, (C) View citations (3)
   See also Working Paper A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy, Post-Print (2021) View citations (3) (2021)
4. Semivariance and semiskew risk premiums in currency markets
   Journal of Futures Markets, 2021, 41, (3), 290-324 View citations (2)

2020

5. The Co‐Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asia‐Pacific Markets
   International Review of Finance, 2020, 20, (3), 551-579 View citations (8)

2019

6. Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market
   Journal of Banking & Finance, 2019, 99, (C), 45-62 View citations (14)
7. Variance and skew risk premiums for the volatility market: The VIX evidence
   Journal of Futures Markets, 2019, 39, (3), 302-321 View citations (4)
8. Volatility of volatility is (also) rough
   Journal of Futures Markets, 2019, 39, (5), 600-611 View citations (12)

2018

9. Volatility spillovers and connectedness among credit default swap sector indexes
   Applied Economics, 2018, 50, (36), 3923-3936 View citations (11)

2017

10. Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model
    Journal of Futures Markets, 2017, 37, (3), 260-285 View citations (3)
11. Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition
    Energy Economics, 2017, 67, (C), 410-422 View citations (9)
12. Valuing variable annuity guarantees on multiple assets
    Scandinavian Actuarial Journal, 2017, 2017, (3), 209-230 View citations (4)

2016

13. A joint analysis of market indexes in credit default swap, volatility and stock markets
    Applied Economics, 2016, 48, (19), 1767-1784 View citations (4)
14. Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market
    Energy Economics, 2016, 56, (C), 215-228 View citations (15)
15. On moment non-explosions for Wishart-based stochastic volatility models
    European Journal of Operational Research, 2016, 254, (3), 889-894 View citations (3)
16. The α-hypergeometric stochastic volatility model
    Stochastic Processes and their Applications, 2016, 126, (5), 1472-1502 View citations (9)

2015

17. Clustering and Mean Reversion in a Hawkes Microstructure Model
    Journal of Futures Markets, 2015, 35, (9), 813-838 View citations (13)

2014

18. Cross-hedging strategies between CDS spreads and option volatility during crises
    Journal of International Money and Finance, 2014, 49, (PB), 386-400 View citations (7)
19. Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function
    Studies in Nonlinear Dynamics & Econometrics, 2014, 18, (3), 253-289 View citations (22)
20. Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit
    Journal of Futures Markets, 2014, 34, (6), 548-579 View citations (48)
21. Pricing range notes within Wishart affine models
    Insurance: Mathematics and Economics, 2014, 58, (C), 193-203 View citations (8)

2013

22. A Joint Analysis of the Term Structure of Credit Default Swap Spreads and the Implied Volatility Surface
    Journal of Futures Markets, 2013, 33, (6), 494-517 View citations (8)
23. A flexible matrix Libor model with smiles
    Journal of Economic Dynamics and Control, 2013, 37, (4), 774-793 View citations (10)
    See also Working Paper A flexible matrix Libor model with smiles, Papers (2012) (2012)

2011

24. HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS
    International Journal of Theoretical and Applied Finance (IJTAF), 2011, 14, (06), 899-943 View citations (14)
25. Riding on the smiles
    Quantitative Finance, 2011, 11, (11), 1609-1632 View citations (38)

2008

26. A multifactor volatility Heston model
    Quantitative Finance, 2008, 8, (6), 591-604 View citations (81)

2007

27. Option pricing when correlations are stochastic: an analytical framework
    Review of Derivatives Research, 2007, 10, (2), 151-180 View citations (82)

2002

28. Dynamics of implied volatility surfaces
    Quantitative Finance, 2002, 2, (1), 45-60 View citations (174)
29. Stochastic Models of Implied Volatility Surfaces
    Economic Notes, 2002, 31, (2), 361-377 View citations (18)