Access Statistics for Jose Santiago Fajardo Barbachan

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A New Factor to Explain Implied Volatility Smirk 0 0 0 4 0 1 1 40
A Note On Arbitrage and Exogenus Collateral 0 0 0 24 0 0 0 211
Analyzing the Use of Generalized Hyperbolic Distributions to Value at Risk Calculations 0 0 1 208 0 0 1 371
Apreçamento de Derivativos Bidimensionais 0 0 0 57 0 1 1 282
Arbitrage, Collateral and Utility Penalties 0 0 0 32 0 0 0 150
Barrier Options under L\'evy Processes: a Simple Short-Cut 0 0 0 7 0 0 0 40
Bitcoin's return behaviour: What do We know so far? 1 1 1 55 1 1 2 47
CAPM Usando uma Carteira Sintética do PIB Brasileiro 0 0 0 72 0 0 0 305
Concentração Bancária Brasileira: Uma Análise Microeconômica 0 0 1 212 0 0 2 510
Duality and Derivative Pricing with Lévy Processes 0 0 1 64 1 2 8 194
Duality and Derivative Pricing with Lévy Processes 0 0 0 193 0 0 2 496
Duality and Derivative Pricing with Time-Changed Lévy Processes 0 0 0 78 0 0 2 237
Endogenous Collateral 0 0 0 90 0 1 2 413
Endogenous Collateral 0 0 0 35 0 1 1 213
Endogenous Collateral: Arbitrage and Equilibrium without Bounded Short Sales 0 0 0 75 0 0 0 228
Endogenous collateral 0 0 0 59 0 0 0 239
Endogenous collateral: arbitrage and equilibrium without bounded short sales 0 0 0 16 0 1 1 190
Equivalent Martingale Measures and Lévy Processes 0 0 0 82 0 0 0 202
Equivalent Martingale Measures and Lévy Processes 0 0 0 148 0 0 3 407
Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options 0 0 2 56 0 1 3 345
Estimating relative risk aversion, risk-neutral and real-world densities using brazilian real currency options 0 0 1 34 0 1 2 187
Existence of Equilibrium in Common Agency Games with Adverse Selection 0 0 0 61 0 0 0 258
Existence of equilibrium in common agency games with adverse selection 0 0 0 46 0 0 0 187
Generalized Hyperbolic Distributions and Brazilian Data 0 0 0 28 0 0 2 165
Generalized Hyperbolic Distributions and Brazilian Data 0 0 0 100 1 1 2 242
Goodness-of-Fit Test focuses on Conditional Value at Risk:An Empirical Analysis of Exchange Rates 0 0 1 75 0 0 1 226
Goodness-of-fit Tests focus on VaR Estimation 0 0 1 150 0 1 3 303
Multivariate Affine Generalized Hyperbolic Distributions: An Empirical Investigation 0 0 0 77 0 1 1 174
On the optimal investment 0 0 0 31 0 0 1 65
Optimal Consumption and Investment with Levy Processes 0 0 0 160 0 0 0 359
Power Style Contracts Under Asymmetric Lévy Processes 0 0 0 8 0 0 0 26
Pricing Derivatives on Two Lévy-driven Stocks 0 0 0 114 1 1 1 264
Pricing Derivatives on Two Lé}vy-driven Stocks 0 0 0 95 0 0 0 328
Put-Call Duality and Symmetry 0 0 0 354 0 0 1 971
Skewness Premium with Lévy Processes 0 0 0 55 0 0 3 172
Skewness Premium with Lévy Processes 0 1 1 80 0 1 2 229
Statistical Arbitrage with Default and Collateral 0 0 0 23 0 0 0 121
Symmetry and Time Changed Brownian Motions 0 0 0 58 0 0 0 151
Volatility Estimation and Option Pricing with Fractional Brownian Motion 0 0 0 449 0 0 2 835
Total Working Papers 1 2 10 3,565 4 15 50 10,383

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Goodness-of-Fit Test with Focus on Conditional Value at Risk 0 0 0 5 0 1 1 26
A new factor to explain implied volatility smirk 1 1 1 3 1 1 1 10
A note on arbitrage and exogenous collateral 0 0 0 18 0 0 0 97
Barrier style contracts under Lévy processes once again 0 0 0 3 0 0 0 26
Barrier style contracts under Lévy processes: An alternative approach 0 0 0 5 0 0 0 34
Behavioral arbitrage with collateral and uncertain deliveries 0 0 0 14 0 0 0 123
Close form pricing formulas for Coupon Cancellable CoCos 0 2 2 32 0 2 3 145
Derivative pricing using multivariate affine generalized hyperbolic distributions 0 0 1 36 0 0 1 90
Duality and Symmetry with Time-Changed Lévy Processes 0 0 0 1 0 0 0 11
Endogenous collateral 0 0 1 96 0 2 3 271
Equilibrium in stochastic economies with incomplete financial markets 0 0 0 5 0 0 0 26
Equivalent Martingale Measures and Lévy Processes 0 0 0 0 0 0 2 11
Existence of equilibrium in common agency games with adverse selection 0 0 0 28 1 2 3 101
Generalized Hyperbolic Distributions and Brazilian Data 0 0 0 1 0 0 0 23
Goodness-of-fit Tests Focus on Value-at-Risk Estimation 0 1 3 8 0 1 5 35
Interação Social e o Comportamento da Investidora Brasileira 0 0 0 0 0 0 0 19
Kyle equilibrium under random price pressure 0 0 1 2 0 0 2 17
Lévy processes and the Brazilian market 0 0 0 1 0 1 1 20
Market symmetry in time-changed Brownian models 0 0 0 7 0 1 2 88
Multivariate affine generalized hyperbolic distributions: An empirical investigation 0 0 0 13 0 0 1 100
Optimal Consumption and Investment with Hyperbolic Lévy Motion 0 0 0 1 0 0 0 10
Optimal Consumption and Investment with Lévy Processes 0 0 0 1 0 0 0 16
Optimal Insider Strategy with Law Penalties 0 0 0 5 1 1 2 19
PRICING DERIVATIVES ON TWO-DIMENSIONAL LÉVY PROCESSES 0 0 0 2 0 0 1 11
Pricing and optimality with default spreads 0 0 0 5 0 0 0 25
SKEWED LÉVY MODELS AND IMPLIED VOLATILITY SKEW 0 0 0 6 0 0 0 30
Skewness premium with L�vy processes 0 0 0 5 0 0 0 34
Statistical arbitrage with default and collateral 0 0 0 33 0 0 2 182
Symmetry and Bates’ rule in Ornstein–Uhlenbeck stochastic volatility models 0 0 0 1 0 1 2 37
Symmetry and duality in Levy markets 0 0 0 47 0 0 0 192
Total Journal Articles 1 4 9 384 3 13 32 1,829

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Statistics updated 2025-05-12