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 2 13 54
Barrier Options under L\'evy Processes: a Simple Short-Cut 0 0 0 7 0 2 8 48
Bitcoin's return behaviour: What do We know so far? 0 0 0 55 0 0 16 64
Duality and Derivative Pricing with Lévy Processes 0 0 0 193 3 3 18 514
Duality and Derivative Pricing with Time-Changed Lévy Processes 0 0 0 78 1 1 5 242
Endogenous Collateral 0 0 0 90 4 6 16 429
Endogenous collateral 0 0 0 59 3 4 16 257
Endogenous collateral: arbitrage and equilibrium without bounded short sales 0 0 0 16 0 0 9 199
Equivalent Martingale Measures and Lévy Processes 0 0 0 148 2 2 18 425
Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options 0 0 0 56 1 2 27 373
Estimating relative risk aversion, risk-neutral and real-world densities using brazilian real currency options 0 0 0 34 2 2 16 204
Existence of Equilibrium in Common Agency Games with Adverse Selection 0 0 0 61 4 24 35 297
Existence of equilibrium in common agency games with adverse selection 0 0 0 46 2 3 13 201
Generalized Hyperbolic Distributions and Brazilian Data 0 0 0 28 7 7 17 184
Multivariate Affine Generalized Hyperbolic Distributions: An Empirical Investigation 0 0 0 77 2 4 12 186
On the optimal investment 0 0 0 31 2 3 18 85
Optimal Consumption and Investment with Levy Processes 0 0 0 160 3 4 13 374
Power Style Contracts Under Asymmetric Lévy Processes 0 0 0 8 0 0 6 34
Pricing Derivatives on Two Lé}vy-driven Stocks 0 0 0 95 1 1 11 341
Skewness Premium with Lévy Processes 0 0 0 80 0 0 10 241
Skewness Premium with Lévy Processes 0 0 0 55 0 1 6 179
Statistical Arbitrage with Default and Collateral 0 0 0 23 0 1 10 132
Symmetry and Time Changed Brownian Motions 0 0 0 58 0 0 11 162
Total Working Papers 0 0 0 1,462 39 72 324 5,225
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 2 3 14 43
A new factor to explain implied volatility smirk 1 1 1 4 1 3 8 20
A note on arbitrage and exogenous collateral 0 0 0 18 1 2 14 112
Barrier style contracts under Lévy processes once again 0 0 0 3 1 3 8 35
Barrier style contracts under Lévy processes: An alternative approach 0 0 0 5 4 4 14 48
Behavioral arbitrage with collateral and uncertain deliveries 0 0 0 14 1 1 12 137
Close form pricing formulas for Coupon Cancellable CoCos 0 0 0 32 4 4 15 161
Derivative pricing using multivariate affine generalized hyperbolic distributions 0 0 0 36 3 3 18 109
Duality and Symmetry with Time-Changed Lévy Processes 0 0 0 1 1 1 16 28
Endogenous collateral 0 0 0 96 1 1 13 286
Equilibrium in stochastic economies with incomplete financial markets 0 0 0 5 1 1 9 35
Equivalent Martingale Measures and Lévy Processes 0 0 0 0 2 2 4 17
Existence of equilibrium in common agency games with adverse selection 0 1 1 29 1 2 20 122
Generalized Hyperbolic Distributions and Brazilian Data 0 0 1 3 1 1 10 37
Goodness-of-fit Tests Focus on Value-at-Risk Estimation 0 0 0 8 3 3 11 48
Interação Social e o Comportamento da Investidora Brasileira 0 0 0 0 1 1 7 31
Kyle equilibrium under random price pressure 0 0 0 2 1 1 7 26
Lévy processes and the Brazilian market 0 1 1 2 1 2 8 29
Market symmetry in time-changed Brownian models 0 0 0 7 0 0 17 105
Multivariate affine generalized hyperbolic distributions: An empirical investigation 0 0 1 14 2 2 12 114
Optimal Consumption and Investment with Hyperbolic Lévy Motion 0 0 0 1 1 1 9 19
Optimal Consumption and Investment with Lévy Processes 1 1 1 2 3 3 12 28
Optimal Insider Strategy with Law Penalties 0 0 0 5 3 3 10 29
PRICING DERIVATIVES ON TWO-DIMENSIONAL LÉVY PROCESSES 0 0 0 2 0 2 10 23
Pricing and optimality with default spreads 0 0 0 5 0 1 7 32
SKEWED LÉVY MODELS AND IMPLIED VOLATILITY SKEW 0 0 0 6 0 0 7 37
Skewness premium with L�vy processes 0 0 0 5 0 1 5 40
Statistical arbitrage with default and collateral 0 0 0 33 0 0 7 192
Symmetry and Bates’ rule in Ornstein–Uhlenbeck stochastic volatility models 0 0 0 1 2 2 20 59
Symmetry and duality in Levy markets 0 0 1 48 3 4 18 211
Total Journal Articles 2 4 7 392 44 57 342 2,213

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Statistics updated 2026-11-12