AUT - José da Fonseca
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Dr José da Fonseca
Senior Lecturer in Finance
Phone: +64 9 921 9999 – ext: 5063
Email: jose.dafonseca@aut.ac.nz
Qualifications:
Doctorat, University Claude Bernard Lyon I, France
Teaching Areas:
Financial Risk ManagementResearch areas:
- Financial Risk Management
- Equity and Interest rates derivatives pricing
- Calibration and numerical methods for finance
- Correlation modelling
Publications:
- J. Da Fonseca, M. Grasselli, “Riding on the Smiles”, Quantitative Finance, Vol. 11, Issue 11, pages 1609-1632, (2011).
- J. Da Fonseca, F. Ielpo, M. Grasselli, “Hedging (Co)Variance Risk with Variances Swaps”, International Journal of Theoretical and Applied Finance (IJTAF), Vol. 14, Issue 06, pages 899-943, (2011).
- J. Da Fonseca, M. Messaoud, “Libor Market Model in Premia: Bermudan pricer, Stochastic Volatility and Malliavin Calculus”, Bankers, Markets and Investors, n° 99, 44-57, March-April (2009).
- J. Da Fonseca, M. Grasselli and C. Tebaldi, "A Multifactor volatility Heston model", Quantitative Finance, Volume 8, Issue 6, 591-604, September (2008).
- J. Da Fonseca, M. Grasselli and C. Tebaldi, "Option pricing when correlations are stochastic: an analytical framework", Review of Derivatives Research, Vol 10, No 2, Mai (2007).
Last updated: 23 May 2012 11:30am