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 2 11 12 52
Barrier Options under L\'evy Processes: a Simple Short-Cut 0 0 0 7 0 4 4 44
Bitcoin's return behaviour: What do We know so far? 0 0 1 55 0 5 7 53
Duality and Derivative Pricing with Lévy Processes 0 0 0 193 3 9 11 507
Duality and Derivative Pricing with Time-Changed Lévy Processes 0 0 0 78 0 1 1 238
Endogenous Collateral 0 0 0 90 1 7 8 420
Endogenous collateral 0 0 0 59 1 6 10 249
Endogenous collateral: arbitrage and equilibrium without bounded short sales 0 0 0 16 3 5 7 197
Equivalent Martingale Measures and Lévy Processes 0 0 0 148 0 7 9 416
Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options 0 0 0 56 2 17 18 363
Estimating relative risk aversion, risk-neutral and real-world densities using brazilian real currency options 0 0 0 34 2 10 11 198
Existence of Equilibrium in Common Agency Games with Adverse Selection 0 0 0 61 1 7 14 272
Existence of equilibrium in common agency games with adverse selection 0 0 0 46 1 6 7 194
Generalized Hyperbolic Distributions and Brazilian Data 0 0 0 28 0 6 8 173
Multivariate Affine Generalized Hyperbolic Distributions: An Empirical Investigation 0 0 0 77 3 6 7 180
On the optimal investment 0 0 0 31 1 9 11 76
Optimal Consumption and Investment with Levy Processes 0 0 0 160 0 3 6 365
Power Style Contracts Under Asymmetric Lévy Processes 0 0 0 8 0 2 5 31
Pricing Derivatives on Two Lé}vy-driven Stocks 0 0 0 95 0 4 7 335
Skewness Premium with Lévy Processes 0 0 1 80 0 4 8 236
Skewness Premium with Lévy Processes 0 0 0 55 0 2 3 175
Statistical Arbitrage with Default and Collateral 0 0 0 23 0 8 9 130
Symmetry and Time Changed Brownian Motions 0 0 0 58 0 8 8 159
Total Working Papers 0 0 2 1,462 20 147 191 5,063
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 0 6 9 35
A new factor to explain implied volatility smirk 0 0 1 3 1 2 6 15
A note on arbitrage and exogenous collateral 0 0 0 18 2 6 7 104
Barrier style contracts under Lévy processes once again 0 0 0 3 0 2 3 29
Barrier style contracts under Lévy processes: An alternative approach 0 0 0 5 1 5 5 39
Behavioral arbitrage with collateral and uncertain deliveries 0 0 0 14 1 7 10 133
Close form pricing formulas for Coupon Cancellable CoCos 0 0 1 32 0 6 9 153
Derivative pricing using multivariate affine generalized hyperbolic distributions 0 0 0 36 2 9 11 101
Duality and Symmetry with Time-Changed Lévy Processes 0 0 0 1 1 6 7 18
Endogenous collateral 0 0 0 96 1 5 9 278
Equilibrium in stochastic economies with incomplete financial markets 0 0 0 5 0 2 2 28
Equivalent Martingale Measures and Lévy Processes 0 0 0 0 0 1 3 14
Existence of equilibrium in common agency games with adverse selection 0 0 0 28 3 12 14 114
Generalized Hyperbolic Distributions and Brazilian Data 0 1 2 3 0 5 10 33
Goodness-of-fit Tests Focus on Value-at-Risk Estimation 0 0 1 8 1 2 5 39
Interação Social e o Comportamento da Investidora Brasileira 0 0 0 0 2 5 10 29
Kyle equilibrium under random price pressure 0 0 0 2 0 4 6 23
Lévy processes and the Brazilian market 0 0 0 1 1 5 6 26
Market symmetry in time-changed Brownian models 0 0 0 7 0 10 11 98
Multivariate affine generalized hyperbolic distributions: An empirical investigation 1 1 1 14 2 9 12 112
Optimal Consumption and Investment with Hyperbolic Lévy Motion 0 0 0 1 0 3 3 13
Optimal Consumption and Investment with Lévy Processes 0 0 0 1 0 3 4 20
Optimal Insider Strategy with Law Penalties 0 0 0 5 1 3 4 22
PRICING DERIVATIVES ON TWO-DIMENSIONAL LÉVY PROCESSES 0 0 0 2 0 3 6 17
Pricing and optimality with default spreads 0 0 0 5 1 2 3 28
SKEWED LÉVY MODELS AND IMPLIED VOLATILITY SKEW 0 0 0 6 0 3 5 35
Skewness premium with L�vy processes 0 0 0 5 0 2 3 37
Statistical arbitrage with default and collateral 0 0 0 33 2 3 6 188
Symmetry and Bates’ rule in Ornstein–Uhlenbeck stochastic volatility models 0 0 0 1 1 8 12 48
Symmetry and duality in Levy markets 0 0 0 47 1 4 6 198
Total Journal Articles 1 2 6 387 24 143 207 2,027

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Since October 2025, abstract view statistics are potentially heavily influenced by traffic from AI bots and tools that we could not eliminate despite our best efforts.

Statistics updated 2026-03-04