Dr José Da Fonseca

Senior Lecturer in Finance

Phone: +64 9 921 9999 – ext: 5063

Email: jose.dafonsecaNOSPAM@NOSPAMaut.ac.nz

ORCID: ORCID logo  https://orcid.org/0000-0002-6882-4511

Qualifications:

HDR (Habilitation à diriger des recherches), Université Paris 1, Panthéon - Sorbonne, Paris, France.

Doctorat, Université Claude Bernard Lyon I, France.

Teaching Areas:

Financial Risk Management

Research Areas:

  • Financial Risk Management
  • Equity and Interest rates derivatives pricing
  • Calibration and numerical methods for finance
  • Correlation modelling

Publications:

  1. J. Da Fonseca and W. Zhang, "Volatility of volatility is (also) rough", Journal of Futures Markets, (2019). DOI:10.1002/fut.21995
  2. J. Da Fonseca and K. Ignatieva, "Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market", Journal of Banking and Finance, 99, 45-62, (2019). DOI:10.1016/j.jbankfin.2018.11.014
  3. J. Da Fonseca and Y. Xu, "Variance and skew risk premiums for the volatility market: The VIX evidence", Journal of Futures Markets, Volume 39, Issue 3, 302-321, (2019). DOI:10.1002/fut.21968
  4. J. Da Fonseca and K. Gottschalk, "The co-movement of credit default swap spreads, equity returns and volatility: Evidence fom Asia-Pacific markets", International Review of Finance, DOI:10.1111/irfi.12237
  5. J. Da Fonseca and K. Ignatieva, "Volatility spillovers and connectedness among credit default swap sector indexes", Applied Economics, Volume 50, Issue 36, 3923-3936, (2018). DOI:10.1080/00036846.2018.1430344
  6. J. Da Fonseca and Y. Xu, "Higher Moment Risk Premiums for the Crude Oil Market: A Downside and Upside Conditional Decomposition", Energy Economics, Volume 67, 410-422, (2017). DOI:10.1016/j.eceno.2017.08.024
  7. J. Da Fonseca and R. Zaatour, "Correlation and Lead-Lag Relationships in a Hawkes Microstructure Model", Journal of Futures Markets, Volume 37, Issue 3, 260-285, (2017). DOI: 10.1002/fut.21800
  8. J. Da Fonseca, “On Moment Non-Explosions for Wishart-Based Stochastic Volatility Models”, European Journal of Operational Research, Volume 254, Issue 3, 260-285, (2017). DOI: 10.1016/j.ejor.2016.04.042
  9. J. Da Fonseca, K. Ignatieva and J. Ziveyi, "Explaining Credit Default Swap Spreads by Means of Realized Jumps and Volatilities in the Energy Market", Energy Economics, Volume 56, 215-228, May (2016). DOI:10.1016/j.eneco.2016.03.22
  10. J. Da Fonseca and C. Martini, "The alpha-Hypergeometric Stochastic Volatility Model", Stochastic Processes and their Applications, 126(5), 1472-1502, (2016). DOI:10.1016/j.spa.2015.11.010
  11. J. Da Fonseca and P. Wang, "A Joint Analysis of Market Indexes in Credit Default Swap, Volatility and Stock Markets", Applied Economics, Volume 48, Issue 19, 1767-1784, (2016). DOI: 10.1080/00036846.2015.1109036
  12. J. Da Fonseca and J. Ziveyi, "Valuing Variable Annuity Guarantees on Multiple Assets", Scandinavian Actuarial Journal, Issue 3, 209-230, (2017). DOI: 10.1080/03461238.2015.1102167
  13. J. Da Fonseca, A. Gnoatto and M. Grasselli, "Analytic Pricing of Volatility-Equity Options within Wishart-Based Stochastic Volatility Models", Operations Research Letters, 43(6), 601-607, (2015). DOI: 10.1016/j.orl.2015.09.006
  14. C. Chiarella, J. Da Fonseca and M. Grasselli, "Pricing Range Notes within Wishart Affine Models”, Insurance: Mathematics and Economics, Volume 58, 193–203, September (2014). DOI: 10.1016/j.insmatheco.2014.07.00
  15. J. Da Fonseca and R. Zaatour, “Clustering and Mean Reversion in a Hawkes Microstructure Model”, Journal of Futures Markets, Volume 35, Issue 9, 813-838 (2015). DOI: 10.1002/fut.21676.
  16. J. Da Fonseca and K. Gottschalk, “Cross-Hedging Strategies between CDS Spreads and Option Volatility during Crises”, Journal of International Money and Finance, Volume 49, Part B, 386-400, (2014). DOI: 10.1016/j.jimonfin.2014.03.010.
  17. J. Da Fonseca and R. Zaatour, “Hawkes Process: Fast Calibration, Application to Trade Clustering and Diffusive Limit”, Journal of Futures Markets, Volume 34, Issue 6, 548-579, (2014). DOI: 10.1002/fut.21644
  18. J. Da Fonseca, M. Grasselli and F. Ielpo, “Estimating the Wishart Affine Stochastic Correlation Model using the Empirical Characteristic Function”, Studies in Nonlinear Dynamics & Econometrics, Volume 18, Issue 3, 253-289, (2014). DOI: 10.1515/snde-2012-0009
  19. J. Da Fonseca and K. Gottschalk, "A Joint Analysis of the Term Structure of Credit Default Swap Spreads and the Implied Volatility Surface", The Journal of Futures Markets, Volume 33, Issue 6, 494–517 (2013). DOI: 10.1002/fut.21594
  20. J. Da Fonseca, A. Gnoatto, M. Grasselli, "A Flexible Matrix Libor Model with Smiles", Journal of Economic Dynamics and Control,  37(4), 774-793, (2013).
  21. J. Da Fonseca, M. Grasselli, “Riding on the Smiles”, Quantitative Finance, Vol. 11, Issue 11, pages 1609-1632, (2011).
  22. 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).
  23. 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).
  24. J. Da Fonseca, M. Grasselli and C. Tebaldi,  "A Multifactor volatility Heston model", Quantitative Finance, Volume 8, Issue 6, 591-604, September (2008).
  25. J. Da Fonseca, M. Grasselli and C. Tebaldi, "Option pricing when correlations are stochastic: an analytical framework", Review of Derivatives Research, Volume 10, No 2, Mai (2007).
  26. R. Cont, J. Da Fonseca  and V. Durrleman, “Stochastic models of implied volatility surfaces, Economic Notes, Volume 31, No 2, pp. 361-377, (2002).
  27. R. Cont and J. Da Fonseca, “Dynamics of implied volatility surfaces”, Quantitative Finance, Volume 2, Issue 1, 45–60, (2002).
  28. R. Cont and J. Da Fonseca, “Deformation of implied volatility surfaces: an empirical approach”, in: Takayasu (Ed.): Empirical Science of Financial Fluctuations, Springer: Tokyo. (2001).