| Dynamics of implied volatility surfaces R Cont, J Da Fonseca Quantitative finance 2 (1), 45-60, 2002 | 605 | 2002 |
| Option pricing when correlations are stochastic: an analytical framework J Da Fonseca, M Grasselli, C Tebaldi Review of Derivatives Research 10 (2), 151-180, 2007 | 240 | 2007 |
| A multifactor volatility Heston model J Da Fonseca, M Grasselli, C Tebaldi Quantitative Finance 8 (6), 591-604, 2008 | 234 | 2008 |
| Hawkes process: Fast calibration, application to trade clustering, and diffusive limit J Da Fonseca, R Zaatour Journal of Futures Markets 34 (6), 548-579, 2014 | 170 | 2014 |
| Stochastic models of implied volatility surfaces R Cont, J Fonseca, V Durrleman Economic Notes 31 (2), 361-377, 2002 | 99 | 2002 |
| Riding on the smiles J Da Fonseca, M Grasselli Quantitative Finance 11 (11), 1609-1632, 2011 | 88 | 2011 |
| Estimating the Wishart affine stochastic correlation model using the empirical characteristic function J Da Fonseca, M Grasselli, F Ielpo Studies in Nonlinear Dynamics & Econometrics 18 (3), 253-289, 2014 | 76 | 2014 |
| Hedging (co) variance risk with variance swaps J Da Fonseca, M Grasselli, F Ielpo International Journal of Theoretical and Applied Finance 14 (06), 899-943, 2011 | 54 | 2011 |
| The α-hypergeometric stochastic volatility model J Da Fonseca, C Martini Stochastic Processes and their Applications 126 (5), 1472-1502, 2016 | 43 | 2016 |
| The Co‐Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asia‐Pacific Markets J Da Fonseca, K Gottschalk International Review of Finance 20 (3), 551-579, 2020 | 39 | 2020 |
| Clustering and mean reversion in a Hawkes microstructure model J Da Fonseca, R Zaatour Journal of Futures Markets 35 (9), 813-838, 2015 | 34 | 2015 |
| Deformation of implied volatility surfaces: an empirical analysis R Cont, J da Fonseca Empirical Science of Financial Fluctuations, 230-239, 2002 | 32 | 2002 |
| Jump Activity Analysis for Affine Jump-Diffusion Models: Evidences from the Commodity Market J Da Fonseca, K Ignatieva Available at SSRN 2773076, 2016 | 31 | 2016 |
| Valuing variable annuity guarantees on multiple assets J Da Fonseca, J Ziveyi Scandinavian Actuarial Journal, 1-22, 2015 | 27 | 2015 |
| Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market J Da Fonseca, K Ignatieva, J Ziveyi Energy Economics 56, 215-228, 2016 | 25 | 2016 |
| Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model J Da Fonseca, R Zaatour Journal of Futures Markets 37 (3), 260-285, 2017 | 24 | 2017 |
| A joint analysis of the term structure of credit default swap spreads and the implied volatility surface J Da Fonseca, K Gottschalk Journal of Futures Markets 33 (6), 494-517, 2013 | 24 | 2013 |
| The co-movement of credit default swap spreads, stock market returns and volatilities: evidence from Asia-Pacific markets JD Fonseca, K Gottschalk Tech. rep., Working Paper, May 31, 2012 | 22 | 2012 |
| Volatility of volatility is (also) rough J Da Fonseca, W Zhang Journal of Futures Markets 39 (5), 600-611, 2019 | 21 | 2019 |
| Pricing range notes within Wishart affine models C Chiarella, J Da Fonseca, M Grasselli Insurance: Mathematics and Economics 58, 193-203, 2014 | 21 | 2014 |
Martino GrasselliUniversità di Padova and Devinci Research Center, Paris la DefenseVerified email at math.unipd.it
