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 2 0 1 10 31
A Note On Arbitrage and Exogenus Collateral 0 0 0 24 1 2 8 204
Analyzing the Use of Generalized Hyperbolic Distributions to Value at Risk Calculations 0 0 0 207 0 0 1 365
Apreçamento de Derivativos Bidimensionais 0 0 0 57 0 1 4 277
Arbitrage, Collateral and Utility Penalties 0 0 0 31 1 1 3 147
Barrier Options under L\'evy Processes: a Simple Short-Cut 0 0 0 6 0 1 2 34
Bitcoin's return behaviour: What do We know so far? 0 0 2 51 2 2 10 36
CAPM Usando uma Carteira Sintética do PIB Brasileiro 0 0 0 72 0 0 3 303
Concentração Bancária Brasileira: Uma Análise Microeconômica 0 3 7 206 1 4 12 500
Duality and Derivative Pricing with Lévy Processes 0 0 0 62 0 0 1 181
Duality and Derivative Pricing with Lévy Processes 0 0 0 192 0 1 5 491
Duality and Derivative Pricing with Time-Changed Lévy Processes 0 1 1 77 0 1 2 232
Endogenous Collateral 0 0 0 35 0 1 5 203
Endogenous Collateral 0 0 0 84 2 4 11 378
Endogenous Collateral: Arbitrage and Equilibrium without Bounded Short Sales 0 0 0 75 0 0 5 226
Endogenous collateral 0 0 0 59 2 3 9 231
Endogenous collateral: arbitrage and equilibrium without bounded short sales 0 0 0 16 0 1 3 185
Equivalent Martingale Measures and Lévy Processes 0 0 0 82 0 0 1 200
Equivalent Martingale Measures and Lévy Processes 0 0 0 148 0 2 3 402
Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options 0 0 0 49 1 2 11 330
Estimating relative risk aversion, risk-neutral and real-world densities using brazilian real currency options 0 0 6 32 3 5 17 168
Existence of Equilibrium in Common Agency Games with Adverse Selection 0 0 1 61 0 0 2 253
Existence of equilibrium in common agency games with adverse selection 0 0 0 45 1 2 8 183
Generalized Hyperbolic Distributions and Brazilian Data 0 0 0 27 1 3 7 148
Generalized Hyperbolic Distributions and Brazilian Data 0 0 0 100 0 1 7 236
Goodness-of-Fit Test focuses on Conditional Value at Risk:An Empirical Analysis of Exchange Rates 0 0 1 73 0 0 1 218
Goodness-of-fit Tests focus on VaR Estimation 0 0 1 148 0 0 7 292
Multivariate Affine Generalized Hyperbolic Distributions: An Empirical Investigation 0 0 2 74 1 2 7 159
On the optimal investment 0 0 0 29 0 0 10 56
Optimal Consumption and Investment with Levy Processes 0 1 1 159 0 2 4 358
Power Style Contracts Under Asymmetric Lévy Processes 0 0 0 7 0 0 7 23
Pricing Derivatives on Two Lévy-driven Stocks 0 0 0 113 1 1 6 259
Pricing Derivatives on Two Lé}vy-driven Stocks 0 0 0 95 0 0 2 324
Put-Call Duality and Symmetry 0 0 2 352 0 0 4 948
Skewness Premium with Lévy Processes 0 0 1 77 0 0 4 220
Skewness Premium with Lévy Processes 0 0 0 55 0 1 7 162
Statistical Arbitrage with Default and Collateral 0 0 0 23 2 2 3 112
Symmetry and Time Changed Brownian Motions 0 0 0 57 0 0 1 148
Volatility Estimation and Option Pricing with Fractional Brownian Motion 0 0 1 447 0 1 5 826
Total Working Papers 0 5 26 3,509 19 47 218 10,049

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 2 4 4 0 2 7 20
A new factor to explain implied volatility smirk 0 0 0 2 0 0 1 7
A note on arbitrage and exogenous collateral 0 0 0 17 0 0 5 94
Barrier style contracts under Lévy processes once again 0 0 0 1 0 0 5 19
Barrier style contracts under Lévy processes: An alternative approach 0 0 0 5 0 1 2 31
Behavioral arbitrage with collateral and uncertain deliveries 0 0 0 14 0 0 3 122
Close form pricing formulas for Coupon Cancellable CoCos 0 0 2 25 2 5 13 128
Derivative pricing using multivariate affine generalized hyperbolic distributions 0 0 2 32 1 1 5 82
Duality and Symmetry with Time-Changed Lévy Processes 0 1 1 1 0 1 3 9
Endogenous collateral 0 0 0 94 0 2 7 256
Equilibrium in stochastic economies with incomplete financial markets 0 0 2 5 1 1 10 23
Equivalent Martingale Measures and Lévy Processes 0 0 0 0 0 0 1 8
Existence of equilibrium in common agency games with adverse selection 0 0 1 22 0 0 4 86
Generalized Hyperbolic Distributions and Brazilian Data 0 0 0 0 0 0 9 19
Goodness-of-fit Tests Focus on Value-at-Risk Estimation 0 0 0 4 0 0 4 21
Interação Social e o Comportamento da Investidora Brasileira 0 0 0 0 0 1 3 12
Kyle equilibrium under random price pressure 0 0 0 0 0 0 8 11
Lévy processes and the Brazilian market 0 0 0 0 0 0 2 16
Market symmetry in time-changed Brownian models 0 0 0 7 0 0 0 82
Multivariate affine generalized hyperbolic distributions: An empirical investigation 0 0 0 13 1 1 10 93
Optimal Consumption and Investment with Hyperbolic Lévy Motion 0 0 0 0 0 0 0 7
Optimal Consumption and Investment with Lévy Processes 0 0 0 1 1 1 6 14
Optimal Insider Strategy with Law Penalties 0 0 0 4 0 0 0 13
PRICING DERIVATIVES ON TWO-DIMENSIONAL LÉVY PROCESSES 1 1 1 2 1 1 2 7
Pricing and optimality with default spreads 0 0 0 5 0 0 0 23
SKEWED LÉVY MODELS AND IMPLIED VOLATILITY SKEW 0 0 0 3 0 0 3 20
Skewness premium with L�vy processes 0 0 0 5 0 0 1 29
Statistical arbitrage with default and collateral 0 0 0 33 0 0 6 171
Symmetry and Bates’ rule in Ornstein–Uhlenbeck stochastic volatility models 0 0 0 1 0 1 6 32
Symmetry and duality in Levy markets 0 0 0 46 0 0 4 182
Total Journal Articles 1 4 13 346 7 18 130 1,637

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Statistics updated 2021-01-03