3 citations · 3 across the 2 of their papers we have counts for
3 papers
Joint survival annuity derivative valuation in the linear-rational Wishart mortality model
Jose Da Fonseca, Patrick Wong
This study proposes a linear-rational joint survival mortality model based on the Wishart process. The Wishart process, which is a stochastic continuous matrix affine process, allo…
A statistical study of gyro-averaging effects in a reduced model of drift-wave transport
J. D. da Fonseca, D. del-Castillo-Negrete, . M. Sokolov +1
A statistical study of finite Larmor radius (FLR) effects on transport driven by electrostatic drift-waves is presented. The study is based on a reduced discrete Hamiltonian dynami…
A flexible matrix Libor model with smiles
José Da Fonseca, Alessandro Gnoatto, Martino Grasselli
We present a flexible approach for the valuation of interest rate derivatives based on Affine Processes. We extend the methodology proposed in Keller-Ressel et al. (2009) by changi…