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 0 12 52
Barrier Options under L\'evy Processes: a Simple Short-Cut 0 0 0 7 0 2 6 46
Bitcoin's return behaviour: What do We know so far? 0 0 0 55 5 8 14 61
Duality and Derivative Pricing with Lévy Processes 0 0 0 193 0 4 15 511
Duality and Derivative Pricing with Time-Changed Lévy Processes 0 0 0 78 1 2 3 240
Endogenous Collateral 0 0 0 90 1 3 10 423
Endogenous collateral 0 0 0 59 1 4 14 253
Endogenous collateral: arbitrage and equilibrium without bounded short sales 0 0 0 16 0 2 9 199
Equivalent Martingale Measures and Lévy Processes 0 0 0 148 1 7 16 423
Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options 0 0 0 56 1 6 24 369
Estimating relative risk aversion, risk-neutral and real-world densities using brazilian real currency options 0 0 0 34 1 4 14 202
Existence of Equilibrium in Common Agency Games with Adverse Selection 0 0 0 61 0 1 14 273
Existence of equilibrium in common agency games with adverse selection 0 0 0 46 0 2 9 196
Generalized Hyperbolic Distributions and Brazilian Data 0 0 0 28 1 4 12 177
Multivariate Affine Generalized Hyperbolic Distributions: An Empirical Investigation 0 0 0 77 0 2 8 182
On the optimal investment 0 0 0 31 1 5 16 81
Optimal Consumption and Investment with Levy Processes 0 0 0 160 0 5 11 370
Power Style Contracts Under Asymmetric Lévy Processes 0 0 0 8 0 3 8 34
Pricing Derivatives on Two Lé}vy-driven Stocks 0 0 0 95 0 5 12 340
Skewness Premium with Lévy Processes 0 0 0 55 1 3 6 178
Skewness Premium with Lévy Processes 0 0 0 80 0 4 11 240
Statistical Arbitrage with Default and Collateral 0 0 0 23 1 1 10 131
Symmetry and Time Changed Brownian Motions 0 0 0 58 1 3 11 162
Total Working Papers 0 0 0 1,462 16 80 265 5,143
16 registered items for which data could not be found

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 1 5 14 40
A new factor to explain implied volatility smirk 0 0 0 3 1 2 7 17
A note on arbitrage and exogenous collateral 0 0 0 18 0 5 12 109
Barrier style contracts under Lévy processes once again 0 0 0 3 1 3 6 32
Barrier style contracts under Lévy processes: An alternative approach 0 0 0 5 0 3 8 42
Behavioral arbitrage with collateral and uncertain deliveries 0 0 0 14 0 2 12 135
Close form pricing formulas for Coupon Cancellable CoCos 0 0 0 32 0 3 10 156
Derivative pricing using multivariate affine generalized hyperbolic distributions 0 0 0 36 1 4 15 105
Duality and Symmetry with Time-Changed Lévy Processes 0 0 0 1 0 7 14 25
Endogenous collateral 0 0 0 96 0 6 13 284
Equilibrium in stochastic economies with incomplete financial markets 0 0 0 5 1 5 7 33
Equivalent Martingale Measures and Lévy Processes 0 0 0 0 0 0 3 14
Existence of equilibrium in common agency games with adverse selection 0 0 0 28 1 5 18 119
Generalized Hyperbolic Distributions and Brazilian Data 0 0 2 3 0 3 13 36
Goodness-of-fit Tests Focus on Value-at-Risk Estimation 0 0 0 8 0 5 9 44
Interação Social e o Comportamento da Investidora Brasileira 0 0 0 0 0 0 10 29
Kyle equilibrium under random price pressure 0 0 0 2 0 1 7 24
Lévy processes and the Brazilian market 0 0 0 1 1 1 7 27
Market symmetry in time-changed Brownian models 0 0 0 7 1 6 16 104
Multivariate affine generalized hyperbolic distributions: An empirical investigation 0 0 1 14 0 0 11 112
Optimal Consumption and Investment with Hyperbolic Lévy Motion 0 0 0 1 1 4 7 17
Optimal Consumption and Investment with Lévy Processes 0 0 0 1 1 3 7 23
Optimal Insider Strategy with Law Penalties 0 0 0 5 1 3 6 25
PRICING DERIVATIVES ON TWO-DIMENSIONAL LÉVY PROCESSES 0 0 0 2 0 4 10 21
Pricing and optimality with default spreads 0 0 0 5 0 3 6 31
SKEWED LÉVY MODELS AND IMPLIED VOLATILITY SKEW 0 0 0 6 0 2 7 37
Skewness premium with L�vy processes 0 0 0 5 0 1 4 38
Statistical arbitrage with default and collateral 0 0 0 33 0 3 9 191
Symmetry and Bates’ rule in Ornstein–Uhlenbeck stochastic volatility models 0 0 0 1 1 7 18 55
Symmetry and duality in Levy markets 0 1 1 48 1 7 13 205
Total Journal Articles 0 1 4 388 13 103 299 2,130

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Statistics updated 2026-06-04