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Details about Jose Santiago Fajardo Barbachan

E-mail:
Homepage:http://www.josefajardo.com
Phone:55 21 9136 8356
Postal address:Praia de Botafogo 190 sala 534 Botafogo Rio de Janeiro. RJ
Workplace:Escola Brasileira de Admistração Pública e de Empresas (EBAPE) (Brazilian School of Public and Business Administration), Fundação Getulio Vargas (FGV) (Getulio Vargas Foundation), (more information at EDIRC)

Access statistics for papers by Jose Santiago Fajardo Barbachan.

Last updated 2017-08-17. Update your information in the RePEc Author Service.

Short-id: pfa47


Jump to Journal Articles

Working Papers

2016

  1. A New Factor to Explain Implied Volatility Smirk
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  2. On the optimal investment
    MPRA Paper, University Library of Munich, Germany Downloads
  3. Power Style Contracts Under Asymmetric Lévy Processes
    MPRA Paper, University Library of Munich, Germany Downloads

2013

  1. Barrier Options under L\'evy Processes: a Simple Short-Cut
    Papers, arXiv.org Downloads

2012

  1. Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (2)
    Also in EBAPE Working Papers, FGV/EBAPE - Escola Brasileira de Administração Pública e de Empresas (Brazil) (2012) Downloads View citations (7)

2009

  1. Skewness Premium with Lévy Processes
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    Also in IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro (2006) Downloads View citations (2)

    See also Journal Article in Quantitative Finance (2014)

2008

  1. Multivariate Affine Generalized Hyperbolic Distributions: An Empirical Investigation
    IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro Downloads
    See also Journal Article in International Review of Financial Analysis (2009)
  2. Statistical Arbitrage with Default and Collateral
    Working Papers, Banco de Portugal, Economics and Research Department Downloads View citations (1)
    See also Journal Article in Economics Letters (2010)
  3. Symmetry and Time Changed Brownian Motions
    IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro Downloads View citations (1)

2006

  1. Existence of Equilibrium in Common Agency Games with Adverse Selection
    FEUNL Working Paper Series, Universidade Nova de Lisboa, Faculdade de Economia Downloads View citations (2)
    Also in IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro (2006) Downloads View citations (2)

    See also Journal Article in Games and Economic Behavior (2009)

2005

  1. Duality and Derivative Pricing with Lévy Processes
    IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro Downloads
    Also in Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa (2004) Downloads
  2. Duality and Derivative Pricing with Time-Changed Lévy Processes
    IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro Downloads View citations (2)
  3. Equivalent Martingale Measures and Lévy Processes
    IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro Downloads View citations (1)
    Also in Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa (2004) Downloads

    See also Journal Article in Revista Brasileira de Economia - RBE (2006)

2004

  1. A Note On Arbitrage and Exogenus Collateral
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa Downloads
    See also Journal Article in Mathematical Social Sciences (2005)
  2. Apreçamento de Derivativos Bidimensionais
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa Downloads
  3. Arbitrage, Collateral and Utility Penalties
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa Downloads
  4. CAPM Usando uma Carteira Sintética do PIB Brasileiro
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa Downloads View citations (1)
  5. Concentração Bancária Brasileira: Uma Análise Microeconômica
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa Downloads
  6. Endogenous Collateral
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa Downloads View citations (11)
    Also in FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) (2003) Downloads View citations (1)
    Econometric Society 2004 Latin American Meetings, Econometric Society (2004) Downloads View citations (1)

    See also Journal Article in Journal of Mathematical Economics (2005)
  7. Goodness-of-Fit Test focuses on Conditional Value at Risk:An Empirical Analysis of Exchange Rates
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa Downloads
  8. Pricing Derivatives on Two Lé}vy-driven Stocks
    Econometric Society 2004 North American Winter Meetings, Econometric Society Downloads
    Also in Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa (2003) Downloads

2003

  1. Analyzing the Use of Generalized Hyperbolic Distributions to Value at Risk Calculations
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa Downloads View citations (5)
  2. Endogenous Collateral: Arbitrage and Equilibrium without Bounded Short Sales
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa Downloads
    Also in FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) (2001) Downloads
  3. Generalized Hyperbolic Distributions and Brazilian Data
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa Downloads View citations (37)
    Also in Working Papers Series, Central Bank of Brazil, Research Department (2002) Downloads View citations (40)

    See also Journal Article in Brazilian Review of Econometrics (2004)
  4. Goodness-of-fit Tests focus on VaR Estimation
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa Downloads View citations (2)
  5. Put-Call Duality and Symmetry
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa Downloads View citations (2)
  6. Volatility Estimation and Option Pricing with Fractional Brownian Motion
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa Downloads View citations (1)

2000

  1. Optimal Consumption and Investment with Levy Processes
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (1)
    See also Journal Article in Revista Brasileira de Economia - RBE (2003)

Journal Articles

2016

  1. Optimal Insider Strategy with Law Penalties
    Revista Brasileira de Economia - RBE, 2016, 70, (1) Downloads

2015

  1. Barrier style contracts under Lévy processes: An alternative approach
    Journal of Banking & Finance, 2015, 53, (C), 179-187 Downloads View citations (3)

2014

  1. Close form pricing formulas for Coupon Cancellable CoCos
    Journal of Banking & Finance, 2014, 42, (C), 339-351 Downloads View citations (4)
  2. Skewness premium with Lévy processes
    Quantitative Finance, 2014, 14, (9), 1619-1626 Downloads View citations (5)
    See also Working Paper (2009)
  3. Symmetry and Bates’ rule in Ornstein–Uhlenbeck stochastic volatility models
    Decisions in Economics and Finance, 2014, 37, (2), 319-327 Downloads View citations (1)

2010

  1. Behavioral arbitrage with collateral and uncertain deliveries
    Annals of Finance, 2010, 6, (2), 241-254 Downloads
  2. Derivative pricing using multivariate affine generalized hyperbolic distributions
    Journal of Banking & Finance, 2010, 34, (7), 1607-1617 Downloads View citations (5)
  3. Interação Social e o Comportamento da Investidora Brasileira
    Revista Brasileira de Economia - RBE, 2010, 64, (3) Downloads
  4. Market symmetry in time-changed Brownian models
    Finance Research Letters, 2010, 7, (1), 53-59 Downloads View citations (5)
  5. Statistical arbitrage with default and collateral
    Economics Letters, 2010, 108, (1), 81-84 Downloads
    See also Working Paper (2008)

2009

  1. Existence of equilibrium in common agency games with adverse selection
    Games and Economic Behavior, 2009, 66, (2), 749-760 Downloads View citations (13)
    See also Working Paper (2006)
  2. Multivariate affine generalized hyperbolic distributions: An empirical investigation
    International Review of Financial Analysis, 2009, 18, (4), 174-184 Downloads View citations (4)
    See also Working Paper (2008)
  3. Pricing and optimality with default spreads
    The Quarterly Review of Economics and Finance, 2009, 49, (2), 686-692 Downloads View citations (1)

2008

  1. A Goodness-of-Fit Test with Focus on Conditional Value at Risk
    Brazilian Review of Finance, 2008, 6, (2), 139-155 Downloads

2006

  1. Equivalent Martingale Measures and Lévy Processes
    Revista Brasileira de Economia - RBE, 2006, 60, (4) Downloads
    See also Working Paper (2005)
  2. Goodness-of-fit Tests Focus on Value-at-Risk Estimation
    Brazilian Review of Econometrics, 2006, 26, (2) Downloads
  3. PRICING DERIVATIVES ON TWO-DIMENSIONAL LÉVY PROCESSES
    International Journal of Theoretical and Applied Finance (IJTAF), 2006, 09, (02), 185-197 Downloads
  4. Symmetry and duality in Levy markets
    Quantitative Finance, 2006, 6, (3), 219-227 Downloads View citations (15)

2005

  1. A note on arbitrage and exogenous collateral
    Mathematical Social Sciences, 2005, 50, (3), 336-341 Downloads View citations (6)
    See also Working Paper (2004)
  2. Endogenous collateral
    Journal of Mathematical Economics, 2005, 41, (4-5), 439-462 Downloads View citations (24)
    See also Working Paper (2004)

2004

  1. Generalized Hyperbolic Distributions and Brazilian Data
    Brazilian Review of Econometrics, 2004, 24, (2) Downloads View citations (9)
    See also Working Paper (2003)

2003

  1. Optimal Consumption and Investment with Lévy Processes
    Revista Brasileira de Economia - RBE, 2003, 57, (4) Downloads View citations (1)
    See also Working Paper (2000)

2002

  1. Equilibrium in stochastic economies with incomplete financial markets
    Brazilian Review of Econometrics, 2002, 22, (1) Downloads View citations (1)

2001

  1. Lévy processes and the Brazilian market
    Brazilian Review of Econometrics, 2001, 21, (2) Downloads View citations (4)

2000

  1. Optimal Consumption and Investment with Hyperbolic Lévy Motion
    Brazilian Review of Econometrics, 2000, 20, (1) Downloads
 
Page updated 2017-11-20