Browsing Open Research by Author "Da Fonseca, JC"

Now showing items 1-3 of 3

    • Explaining Credit Default Swap Spreads by Means of Realized Jumps and Volatilities in the Energy Market

      Da Fonseca, JC; Ignatieva, K; Ziveyi, J (Elsevier, 2016)
      This paper studies the relationship between credit default swap (CDS) spreads for the Energy sector and oil futures dynamics. Using data on light sweet crude oil futures from 2004 to 2013, which contains a crisis period, ...

    • Options on Leveraged ETF: Calibrations and Error Analysis

      Da Fonseca, JC; Xu, Y (Society for Computational Economics (SCE), 2015)
      Within the standard affine stochastic volatility framework we price options on leveraged and inverse leveraged ETFs using Fourier transform. We perform a calibration analysis for a given day on options written on leveraged ...

    • The α-hypergeometric stochastic volatility model

      Da Fonseca, JC; Martini, C (The New Zealand Econometrics Study Group (NZESG), 2014)
      The aim of this work is to introduce a new stochastic volatility model for equity derivatives. To overcome some of the well-known problems of the Heston model, and more generally of the a ffine models, we defi ne a new ...