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 5 9 11 50
Barrier Options under L\'evy Processes: a Simple Short-Cut 0 0 0 7 3 4 4 44
Bitcoin's return behaviour: What do We know so far? 0 0 1 55 3 5 7 53
Duality and Derivative Pricing with Lévy Processes 0 0 0 193 4 8 8 504
Duality and Derivative Pricing with Time-Changed Lévy Processes 0 0 0 78 1 1 1 238
Endogenous Collateral 0 0 0 90 4 6 7 419
Endogenous collateral 0 0 0 59 2 7 9 248
Endogenous collateral: arbitrage and equilibrium without bounded short sales 0 0 0 16 2 4 5 194
Equivalent Martingale Measures and Lévy Processes 0 0 0 148 5 9 9 416
Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options 0 0 0 56 13 15 17 361
Estimating relative risk aversion, risk-neutral and real-world densities using brazilian real currency options 0 0 0 34 4 8 10 196
Existence of Equilibrium in Common Agency Games with Adverse Selection 0 0 0 61 4 9 13 271
Existence of equilibrium in common agency games with adverse selection 0 0 0 46 3 5 6 193
Generalized Hyperbolic Distributions and Brazilian Data 0 0 0 28 5 6 8 173
Multivariate Affine Generalized Hyperbolic Distributions: An Empirical Investigation 0 0 0 77 1 3 4 177
On the optimal investment 0 0 0 31 6 8 10 75
Optimal Consumption and Investment with Levy Processes 0 0 0 160 3 4 6 365
Power Style Contracts Under Asymmetric Lévy Processes 0 0 0 8 0 3 5 31
Pricing Derivatives on Two Lé}vy-driven Stocks 0 0 0 95 3 5 7 335
Skewness Premium with Lévy Processes 0 0 1 80 3 5 8 236
Skewness Premium with Lévy Processes 0 0 0 55 2 2 3 175
Statistical Arbitrage with Default and Collateral 0 0 0 23 8 8 9 130
Symmetry and Time Changed Brownian Motions 0 0 0 58 8 8 8 159
Total Working Papers 0 0 2 1,462 92 142 175 5,043
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 4 6 10 35
A new factor to explain implied volatility smirk 0 0 1 3 1 2 5 14
A note on arbitrage and exogenous collateral 0 0 0 18 4 4 5 102
Barrier style contracts under Lévy processes once again 0 0 0 3 2 2 3 29
Barrier style contracts under Lévy processes: An alternative approach 0 0 0 5 4 4 4 38
Behavioral arbitrage with collateral and uncertain deliveries 0 0 0 14 5 7 9 132
Close form pricing formulas for Coupon Cancellable CoCos 0 0 2 32 4 7 10 153
Derivative pricing using multivariate affine generalized hyperbolic distributions 0 0 0 36 7 8 9 99
Duality and Symmetry with Time-Changed Lévy Processes 0 0 0 1 2 5 6 17
Endogenous collateral 0 0 0 96 4 4 8 277
Equilibrium in stochastic economies with incomplete financial markets 0 0 0 5 1 2 2 28
Equivalent Martingale Measures and Lévy Processes 0 0 0 0 1 1 3 14
Existence of equilibrium in common agency games with adverse selection 0 0 0 28 6 9 12 111
Generalized Hyperbolic Distributions and Brazilian Data 1 1 2 3 4 6 10 33
Goodness-of-fit Tests Focus on Value-at-Risk Estimation 0 0 1 8 1 1 4 38
Interação Social e o Comportamento da Investidora Brasileira 0 0 0 0 3 3 8 27
Kyle equilibrium under random price pressure 0 0 0 2 4 4 6 23
Lévy processes and the Brazilian market 0 0 0 1 2 4 6 25
Market symmetry in time-changed Brownian models 0 0 0 7 7 10 11 98
Multivariate affine generalized hyperbolic distributions: An empirical investigation 0 0 0 13 5 8 10 110
Optimal Consumption and Investment with Hyperbolic Lévy Motion 0 0 0 1 1 3 3 13
Optimal Consumption and Investment with Lévy Processes 0 0 0 1 3 4 4 20
Optimal Insider Strategy with Law Penalties 0 0 0 5 0 2 3 21
PRICING DERIVATIVES ON TWO-DIMENSIONAL LÉVY PROCESSES 0 0 0 2 2 4 6 17
Pricing and optimality with default spreads 0 0 0 5 1 2 2 27
SKEWED LÉVY MODELS AND IMPLIED VOLATILITY SKEW 0 0 0 6 1 5 5 35
Skewness premium with L�vy processes 0 0 0 5 1 2 3 37
Statistical arbitrage with default and collateral 0 0 0 33 1 1 4 186
Symmetry and Bates’ rule in Ornstein–Uhlenbeck stochastic volatility models 0 0 0 1 5 8 11 47
Symmetry and duality in Levy markets 0 0 0 47 3 4 5 197
Total Journal Articles 1 1 6 386 89 132 187 2,003

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Statistics updated 2026-02-12