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 2 41
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? 0 0 1 55 0 1 2 48
Duality and Derivative Pricing with Lévy Processes 0 0 0 193 2 2 2 498
Duality and Derivative Pricing with Time-Changed Lévy Processes 0 0 0 78 0 0 2 237
Endogenous Collateral 0 0 0 90 0 0 1 413
Endogenous collateral 0 0 0 59 2 4 4 243
Endogenous collateral: arbitrage and equilibrium without bounded short sales 0 0 0 16 2 2 3 192
Equivalent Martingale Measures and Lévy Processes 0 0 0 148 2 2 3 409
Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options 0 0 0 56 0 0 2 346
Estimating relative risk aversion, risk-neutral and real-world densities using brazilian real currency options 0 0 1 34 0 0 3 188
Existence of Equilibrium in Common Agency Games with Adverse Selection 0 0 0 61 3 5 7 265
Existence of equilibrium in common agency games with adverse selection 0 0 0 46 0 1 1 188
Generalized Hyperbolic Distributions and Brazilian Data 0 0 0 28 0 0 2 167
Multivariate Affine Generalized Hyperbolic Distributions: An Empirical Investigation 0 0 0 77 0 0 1 174
On the optimal investment 0 0 0 31 0 0 3 67
Optimal Consumption and Investment with Levy Processes 0 0 0 160 1 3 3 362
Power Style Contracts Under Asymmetric Lévy Processes 0 0 0 8 1 2 3 29
Pricing Derivatives on Two Lé}vy-driven Stocks 0 0 0 95 1 1 3 331
Skewness Premium with Lévy Processes 0 0 0 55 0 1 1 173
Skewness Premium with Lévy Processes 0 0 1 80 1 2 5 232
Statistical Arbitrage with Default and Collateral 0 0 0 23 0 0 1 122
Symmetry and Time Changed Brownian Motions 0 0 0 58 0 0 0 151
Total Working Papers 0 0 3 1,462 15 27 54 4,916
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 3 4 29
A new factor to explain implied volatility smirk 0 0 1 3 1 2 4 13
A note on arbitrage and exogenous collateral 0 0 0 18 0 1 1 98
Barrier style contracts under Lévy processes once again 0 0 0 3 0 0 1 27
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 1 2 3 126
Close form pricing formulas for Coupon Cancellable CoCos 0 0 2 32 1 1 4 147
Derivative pricing using multivariate affine generalized hyperbolic distributions 0 0 0 36 1 2 2 92
Duality and Symmetry with Time-Changed Lévy Processes 0 0 0 1 0 0 1 12
Endogenous collateral 0 0 0 96 0 2 4 273
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 1 3 13
Existence of equilibrium in common agency games with adverse selection 0 0 0 28 0 0 3 102
Generalized Hyperbolic Distributions and Brazilian Data 0 1 1 2 1 4 5 28
Goodness-of-fit Tests Focus on Value-at-Risk Estimation 0 0 2 8 0 2 5 37
Interação Social e o Comportamento da Investidora Brasileira 0 0 0 0 0 0 5 24
Kyle equilibrium under random price pressure 0 0 0 2 0 1 2 19
Lévy processes and the Brazilian market 0 0 0 1 0 1 2 21
Market symmetry in time-changed Brownian models 0 0 0 7 0 0 2 88
Multivariate affine generalized hyperbolic distributions: An empirical investigation 0 0 0 13 1 2 4 103
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 1 1 1 17
Optimal Insider Strategy with Law Penalties 0 0 0 5 0 0 1 19
PRICING DERIVATIVES ON TWO-DIMENSIONAL LÉVY PROCESSES 0 0 0 2 1 3 4 14
Pricing and optimality with default spreads 0 0 0 5 1 1 1 26
SKEWED LÉVY MODELS AND IMPLIED VOLATILITY SKEW 0 0 0 6 2 2 2 32
Skewness premium with L�vy processes 0 0 0 5 0 0 1 35
Statistical arbitrage with default and collateral 0 0 0 33 0 1 3 185
Symmetry and Bates’ rule in Ornstein–Uhlenbeck stochastic volatility models 0 0 0 1 1 3 4 40
Symmetry and duality in Levy markets 0 0 0 47 1 2 2 194
Total Journal Articles 0 1 6 385 13 37 74 1,884

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Statistics updated 2025-12-06