Estimating the Wishart Affine Stochastic Correlation Model Using the Empirical Characteristic Function
José da Fonseca,
Martino Grasselli,
Florian Ielpo
Studies In Nonlinear Dynamics And Econometrics,
vol. 18, 2014, p. 253-289.
Pricing Range Notes within Wishart Affine Models
Carl Chiarella,
José da Fonseca,
Martino Grasselli
Insurance: Mathematics and Economics,
vol. 58, 2014, p. 193-203.
A Flexible Matrix Libor Model with Smiles
José da Fonseca,
Alessandro Gnoatto,
Martino Grasselli
Journal of Economic Dynamics and Control,
vol. 37, 2013, p. 774-793.
Hedging (Co)variance Risk with Variance Swaps
José da Fonseca,
Martino Grasselli,
Florian Ielpo
International Journal Of Theoretical And Applied Finance,
vol. 14, 2011, p. 899-943.
Riding on the Smiles
José da Fonseca,
Martino Grasselli
Quantitative Finance,
vol. 11, 2011, p. 1609-1632.