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 2 12 52
Barrier Options under L\'evy Processes: a Simple Short-Cut 0 0 0 7 1 2 6 46
Bitcoin's return behaviour: What do We know so far? 0 0 0 55 1 3 9 56
Duality and Derivative Pricing with Lévy Processes 0 0 0 193 3 7 15 511
Duality and Derivative Pricing with Time-Changed Lévy Processes 0 0 0 78 1 1 2 239
Endogenous Collateral 0 0 0 90 1 3 9 422
Endogenous collateral 0 0 0 59 3 4 13 252
Endogenous collateral: arbitrage and equilibrium without bounded short sales 0 0 0 16 2 5 9 199
Equivalent Martingale Measures and Lévy Processes 0 0 0 148 5 6 15 422
Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options 0 0 0 56 2 7 23 368
Estimating relative risk aversion, risk-neutral and real-world densities using brazilian real currency options 0 0 0 34 2 5 14 201
Existence of Equilibrium in Common Agency Games with Adverse Selection 0 0 0 61 0 2 15 273
Existence of equilibrium in common agency games with adverse selection 0 0 0 46 1 3 9 196
Generalized Hyperbolic Distributions and Brazilian Data 0 0 0 28 2 3 11 176
Multivariate Affine Generalized Hyperbolic Distributions: An Empirical Investigation 0 0 0 77 0 5 8 182
On the optimal investment 0 0 0 31 2 5 15 80
Optimal Consumption and Investment with Levy Processes 0 0 0 160 5 5 11 370
Power Style Contracts Under Asymmetric Lévy Processes 0 0 0 8 1 3 8 34
Pricing Derivatives on Two Lé}vy-driven Stocks 0 0 0 95 4 5 12 340
Skewness Premium with Lévy Processes 0 0 0 55 2 2 5 177
Skewness Premium with Lévy Processes 0 0 0 80 4 4 11 240
Statistical Arbitrage with Default and Collateral 0 0 0 23 0 0 9 130
Symmetry and Time Changed Brownian Motions 0 0 0 58 1 2 10 161
Total Working Papers 0 0 0 1,462 43 84 251 5,127
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 4 13 39
A new factor to explain implied volatility smirk 0 0 0 3 1 2 6 16
A note on arbitrage and exogenous collateral 0 0 0 18 5 7 12 109
Barrier style contracts under Lévy processes once again 0 0 0 3 2 2 5 31
Barrier style contracts under Lévy processes: An alternative approach 0 0 0 5 3 4 8 42
Behavioral arbitrage with collateral and uncertain deliveries 0 0 0 14 2 3 12 135
Close form pricing formulas for Coupon Cancellable CoCos 0 0 0 32 2 3 11 156
Derivative pricing using multivariate affine generalized hyperbolic distributions 0 0 0 36 3 5 14 104
Duality and Symmetry with Time-Changed Lévy Processes 0 0 0 1 7 8 14 25
Endogenous collateral 0 0 0 96 6 7 13 284
Equilibrium in stochastic economies with incomplete financial markets 0 0 0 5 3 4 6 32
Equivalent Martingale Measures and Lévy Processes 0 0 0 0 0 0 3 14
Existence of equilibrium in common agency games with adverse selection 0 0 0 28 2 7 17 118
Generalized Hyperbolic Distributions and Brazilian Data 0 0 2 3 2 3 13 36
Goodness-of-fit Tests Focus on Value-at-Risk Estimation 0 0 0 8 5 6 9 44
Interação Social e o Comportamento da Investidora Brasileira 0 0 0 0 0 2 10 29
Kyle equilibrium under random price pressure 0 0 0 2 0 1 7 24
Lévy processes and the Brazilian market 0 0 0 1 0 1 6 26
Market symmetry in time-changed Brownian models 0 0 0 7 3 5 15 103
Multivariate affine generalized hyperbolic distributions: An empirical investigation 0 1 1 14 0 2 12 112
Optimal Consumption and Investment with Hyperbolic Lévy Motion 0 0 0 1 2 3 6 16
Optimal Consumption and Investment with Lévy Processes 0 0 0 1 2 2 6 22
Optimal Insider Strategy with Law Penalties 0 0 0 5 1 3 5 24
PRICING DERIVATIVES ON TWO-DIMENSIONAL LÉVY PROCESSES 0 0 0 2 3 4 10 21
Pricing and optimality with default spreads 0 0 0 5 3 4 6 31
SKEWED LÉVY MODELS AND IMPLIED VOLATILITY SKEW 0 0 0 6 1 2 7 37
Skewness premium with L�vy processes 0 0 0 5 0 1 4 38
Statistical arbitrage with default and collateral 0 0 0 33 2 5 9 191
Symmetry and Bates’ rule in Ornstein–Uhlenbeck stochastic volatility models 0 0 0 1 6 7 17 54
Symmetry and duality in Levy markets 1 1 1 48 4 7 12 204
Total Journal Articles 1 2 4 388 72 114 288 2,117

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Statistics updated 2026-05-06