Details about Jose Santiago Fajardo Barbachan

Access statistics for papers by Jose Santiago Fajardo Barbachan.

Last updated 2019-10-17. Update your information in the RePEc Author Service.

Short-id: pfa47

Working Papers

2019

1. Bitcoin's return behaviour: What do We know so far?
   MPRA Paper, University Library of Munich, Germany

2016

2. A New Factor to Explain Implied Volatility Smirk
   MPRA Paper, University Library of Munich, Germany View citations (2)
   See also Journal Article A new factor to explain implied volatility smirk, Applied Economics, Taylor & Francis Journals (2017) View citations (4) (2017)
3. On the optimal investment
   MPRA Paper, University Library of Munich, Germany
4. Power Style Contracts Under Asymmetric Lévy Processes
   MPRA Paper, University Library of Munich, Germany

2013

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

2012

6. Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options
   Working Papers Series, Central Bank of Brazil, Research Department View citations (10)
   Also in EBAPE Working Papers, FGV EBAPE - Escola Brasileira de Administração Pública e de Empresas (Brazil) (2012) View citations (12)

2009

7. Skewness Premium with Lévy Processes
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
   Also in IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro (2006) View citations (4)

2008

8. Multivariate Affine Generalized Hyperbolic Distributions: An Empirical Investigation
   IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro
   See also Journal Article Multivariate affine generalized hyperbolic distributions: An empirical investigation, International Review of Financial Analysis, Elsevier (2009) View citations (5) (2009)
9. Statistical Arbitrage with Default and Collateral
   Working Papers, Banco de Portugal, Economics and Research Department View citations (1)
   See also Journal Article Statistical arbitrage with default and collateral, Economics Letters, Elsevier (2010) (2010)
10. Symmetry and Time Changed Brownian Motions
    IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro

2006

11. Existence of Equilibrium in Common Agency Games with Adverse Selection
    IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro View citations (3)
    Also in Nova SBE Working Paper Series, Universidade Nova de Lisboa, Nova School of Business and Economics (2006) View citations (2)
    See also Journal Article Existence of equilibrium in common agency games with adverse selection, Games and Economic Behavior, Elsevier (2009) View citations (26) (2009)

2005

12. Duality and Derivative Pricing with Lévy Processes
    IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro
13. Duality and Derivative Pricing with Time-Changed Lévy Processes
    IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro View citations (2)
14. Equivalent Martingale Measures and Lévy Processes
    IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro View citations (1)
    See also Journal Article Equivalent Martingale Measures and Lévy Processes, Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) (2006) (2006)

2004

15. Endogenous Collateral
    Econometric Society 2004 Latin American Meetings, Econometric Society View citations (3)
    Also in FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) (2003) View citations (1)
    See also Journal Article Endogenous collateral, Journal of Mathematical Economics, Elsevier (2005) View citations (30) (2005)
16. Pricing Derivatives on Two Lé}vy-driven Stocks
    Econometric Society 2004 North American Winter Meetings, Econometric Society

2002

17. Generalized Hyperbolic Distributions and Brazilian Data
    Working Papers Series, Central Bank of Brazil, Research Department View citations (39)
    See also Journal Article Generalized Hyperbolic Distributions and Brazilian Data, Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE (2004) View citations (12) (2004)

2001

18. Endogenous collateral: arbitrage and equilibrium without bounded short sales
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil)

2000

19. Optimal Consumption and Investment with Levy Processes
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (1)
    See also Journal Article Optimal Consumption and Investment with Lévy Processes, Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) (2003) View citations (1) (2003)

Journal Articles

2019

1. Kyle equilibrium under random price pressure
   Decisions in Economics and Finance, 2019, 42, (1), 77-101 View citations (3)

2018

2. Barrier style contracts under Lévy processes once again
   Annals of Finance, 2018, 14, (1), 93-103 View citations (1)
3. SKEWED LÉVY MODELS AND IMPLIED VOLATILITY SKEW
   International Journal of Theoretical and Applied Finance (IJTAF), 2018, 21, (02), 1-16 View citations (1)

2017

4. A new factor to explain implied volatility smirk
   Applied Economics, 2017, 49, (40), 4026-4034 View citations (4)
   See also Working Paper A New Factor to Explain Implied Volatility Smirk, MPRA Paper (2016) View citations (2) (2016)

2016

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

2015

6. Barrier style contracts under Lévy processes: An alternative approach
   Journal of Banking & Finance, 2015, 53, (C), 179-187 View citations (6)

2014

7. Close form pricing formulas for Coupon Cancellable CoCos
   Journal of Banking & Finance, 2014, 42, (C), 339-351 View citations (18)
8. Skewness premium with L�vy processes
   Quantitative Finance, 2014, 14, (9), 1619-1626 View citations (9)
9. Symmetry and Bates’ rule in Ornstein–Uhlenbeck stochastic volatility models
   Decisions in Economics and Finance, 2014, 37, (2), 319-327 View citations (1)

2010

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

2009

15. Existence of equilibrium in common agency games with adverse selection
    Games and Economic Behavior, 2009, 66, (2), 749-760 View citations (26)
    See also Working Paper Existence of Equilibrium in Common Agency Games with Adverse Selection, IBMEC RJ Economics Discussion Papers (2006) View citations (3) (2006)
16. Multivariate affine generalized hyperbolic distributions: An empirical investigation
    International Review of Financial Analysis, 2009, 18, (4), 174-184 View citations (5)
    See also Working Paper Multivariate Affine Generalized Hyperbolic Distributions: An Empirical Investigation, IBMEC RJ Economics Discussion Papers (2008) (2008)
17. Pricing and optimality with default spreads
    The Quarterly Review of Economics and Finance, 2009, 49, (2), 686-692 View citations (1)

2008

18. A Goodness-of-Fit Test with Focus on Conditional Value at Risk
    Brazilian Review of Finance, 2008, 6, (2), 139-155
19. Duality and Symmetry with Time-Changed Lévy Processes
    Brazilian Review of Econometrics, 2008, 28, (1)

2006

20. Equivalent Martingale Measures and Lévy Processes
    Revista Brasileira de Economia - RBE, 2006, 60, (4)
    See also Working Paper Equivalent Martingale Measures and Lévy Processes, IBMEC RJ Economics Discussion Papers (2005) View citations (1) (2005)
21. Goodness-of-fit Tests Focus on Value-at-Risk Estimation
    Brazilian Review of Econometrics, 2006, 26, (2)
22. PRICING DERIVATIVES ON TWO-DIMENSIONAL LÉVY PROCESSES
    International Journal of Theoretical and Applied Finance (IJTAF), 2006, 09, (02), 185-197 View citations (8)
23. Symmetry and duality in Levy markets
    Quantitative Finance, 2006, 6, (3), 219-227 View citations (29)

2005

24. A note on arbitrage and exogenous collateral
    Mathematical Social Sciences, 2005, 50, (3), 336-341 View citations (6)
25. Endogenous collateral
    Journal of Mathematical Economics, 2005, 41, (4-5), 439-462 View citations (30)
    See also Working Paper Endogenous Collateral, Econometric Society 2004 Latin American Meetings (2004) View citations (3) (2004)

2004

26. Generalized Hyperbolic Distributions and Brazilian Data
    Brazilian Review of Econometrics, 2004, 24, (2) View citations (12)
    See also Working Paper Generalized Hyperbolic Distributions and Brazilian Data, Working Papers Series (2002) View citations (39) (2002)

2003

27. Optimal Consumption and Investment with Lévy Processes
    Revista Brasileira de Economia - RBE, 2003, 57, (4) View citations (1)
    See also Working Paper Optimal Consumption and Investment with Levy Processes, Econometric Society World Congress 2000 Contributed Papers (2000) View citations (1) (2000)

2002

28. Equilibrium in stochastic economies with incomplete financial markets
    Brazilian Review of Econometrics, 2002, 22, (1) View citations (3)

2001

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

2000

30. Optimal Consumption and Investment with Hyperbolic Lévy Motion
    Brazilian Review of Econometrics, 2000, 20, (1) View citations (2)