José Da Fonseca

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The prices of index options at a given date are usually represented via the corresponding implied volatility surface, presenting skew/smile features and term structure which several models have attempted to reproduce. However, the implied volatility surface also changes dynamically over time in a way that is not taken into account by current modelling(More)
Multidrug-resistant and extensively drug-resistant tuberculosis (TB) represent a major threat to the control of the disease worldwide. The mechanisms and pathways that result in the emergence and subsequent fixation of resistant strains of Mycobacterium tuberculosis are not fully understood and recent studies suggest that they are much more complex than(More)
OBJECTIVE A retrospective study was performed in a series of consecutive patients who underwent a Bentall and De Bono procedure. METHODS Data were removed of medical records and follow-up data were obtained from clinical records and direct contact with patients. A total of 39 patients were studied between January 1996 and December 2005. RESULTS The(More)
In this paper we introduce a new criterion in order to measure the variance and covariance risks in financial markets. In an asset allocation framework with stochas-tic (co)variances, we consider the possibility to invest also in variance swaps, that are assets which span the volatility as well as the co-volatility risks. We provide explicit solutions for(More)
Mediastinal teratomas rarely cause symptoms in newborns. Case reports drawing attention to this presentation have appeared in the literature. A 2-day-old baby with respiratory distress treated by intubation and mechanical ventilation underwent an urgent thoracotomy to alleviate tracheal compression that was caused by a teratoma. The clinical, radiological,(More)
In this paper, we present and discuss the estimation of the Wishart Affine Stochastic Correlation (WASC) model introduced in Da Fonseca et al. (2006) under the historical measure. We review the main estimation possibilities for this continuous time process and provide elements to show that the utilization of empirical characteristic function-based estimates(More)
This paper presents a joint analysis of the term structure of credit default swap (CDS) spreads and the implied volatility surface. The rapid development of the CDS market has provided convenient products to extract credit risk, and its interaction with equity volatility has been analyzed in many studies. However, in most of them the 5-year credit default(More)