Concepedia

José Da Fonseca

JD

33

Publications

1.8K

Citations

20

H-Index

2002

Active since

Affiliations

Auckland University of Technology(Current)

University of Padua

Université Paris 1 Panthéon-Sorbonne

Pôle Léonard de Vinci

Ecole Supérieure d'Ingénieurs Léonard de Vinci

José Da Fonseca is an author at Auckland University of Technology specializing in asset pricing, business, and finance.

Top concepts

Asset PricingBusinessFinanceVolatility ModelingFinancial EconomicsEconomicsEngineeringOption PricingEmpirical FinanceManagement

Publications per year

2002–2019

33

Publications

33

Dynamics of implied volatility surfaces

Rama Cont, José Da Fonseca · Quantitative Finance · 2002 · 436 citations

Volatility Modeling, Option Pricing, Multivariate Stochastic Volatility +15

A multifactor volatility Heston model

José Da Fonseca, Martino Grasselli, Claudio Tebaldi · Quantitative Finance · 2008 · 218 citations · Full text

Option pricing when correlations are stochastic: an analytical framework

José Da Fonseca, Martino Grasselli, Claudio Tebaldi · Review of Derivatives Research · 2007 · 198 citations

Option Pricing, Asset Pricing, Derivative Pricing +3

Riding on the smiles

José Da Fonseca, Martino Grasselli · Quantitative Finance · 2011 · 128 citations

Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit

José Da Fonseca, Riadh Zaatour · Journal of Futures Markets · 2013 · 110 citations

Cluster Computing, Volatility Modeling, Engineering +15

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