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 7 12 52
Barrier Options under L\'evy Processes: a Simple Short-Cut 0 0 0 7 1 4 5 45
Bitcoin's return behaviour: What do We know so far? 0 0 1 55 2 5 9 55
Duality and Derivative Pricing with Lévy Processes 0 0 0 193 1 8 12 508
Duality and Derivative Pricing with Time-Changed Lévy Processes 0 0 0 78 0 1 1 238
Endogenous Collateral 0 0 0 90 1 6 8 421
Endogenous collateral 0 0 0 59 0 3 10 249
Endogenous collateral: arbitrage and equilibrium without bounded short sales 0 0 0 16 0 5 7 197
Equivalent Martingale Measures and Lévy Processes 0 0 0 148 1 6 10 417
Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options 0 0 0 56 3 18 21 366
Estimating relative risk aversion, risk-neutral and real-world densities using brazilian real currency options 0 0 0 34 1 7 12 199
Existence of Equilibrium in Common Agency Games with Adverse Selection 0 0 0 61 1 6 15 273
Existence of equilibrium in common agency games with adverse selection 0 0 0 46 1 5 8 195
Generalized Hyperbolic Distributions and Brazilian Data 0 0 0 28 1 6 9 174
Multivariate Affine Generalized Hyperbolic Distributions: An Empirical Investigation 0 0 0 77 2 6 8 182
On the optimal investment 0 0 0 31 2 9 13 78
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 2 2 7 33
Pricing Derivatives on Two Lé}vy-driven Stocks 0 0 0 95 1 4 8 336
Skewness Premium with Lévy Processes 0 0 0 80 0 3 7 236
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 1 9 9 160
Total Working Papers 0 0 1 1,462 21 133 209 5,084
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 6 11 37
A new factor to explain implied volatility smirk 0 0 1 3 0 2 6 15
A note on arbitrage and exogenous collateral 0 0 0 18 0 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 0 5 5 39
Behavioral arbitrage with collateral and uncertain deliveries 0 0 0 14 0 6 10 133
Close form pricing formulas for Coupon Cancellable CoCos 0 0 0 32 1 5 9 154
Derivative pricing using multivariate affine generalized hyperbolic distributions 0 0 0 36 0 9 11 101
Duality and Symmetry with Time-Changed Lévy Processes 0 0 0 1 0 3 7 18
Endogenous collateral 0 0 0 96 0 5 7 278
Equilibrium in stochastic economies with incomplete financial markets 0 0 0 5 1 2 3 29
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 2 11 16 116
Generalized Hyperbolic Distributions and Brazilian Data 0 1 2 3 1 5 11 34
Goodness-of-fit Tests Focus on Value-at-Risk Estimation 0 0 0 8 0 2 4 39
Interação Social e o Comportamento da Investidora Brasileira 0 0 0 0 0 5 10 29
Kyle equilibrium under random price pressure 0 0 0 2 1 5 7 24
Lévy processes and the Brazilian market 0 0 0 1 0 3 6 26
Market symmetry in time-changed Brownian models 0 0 0 7 2 9 12 100
Multivariate affine generalized hyperbolic distributions: An empirical investigation 0 1 1 14 0 7 12 112
Optimal Consumption and Investment with Hyperbolic Lévy Motion 0 0 0 1 1 2 4 14
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 2 5 23
PRICING DERIVATIVES ON TWO-DIMENSIONAL LÉVY PROCESSES 0 0 0 2 1 3 7 18
Pricing and optimality with default spreads 0 0 0 5 0 2 3 28
SKEWED LÉVY MODELS AND IMPLIED VOLATILITY SKEW 0 0 0 6 1 2 6 36
Skewness premium with L�vy processes 0 0 0 5 1 2 4 38
Statistical arbitrage with default and collateral 0 0 0 33 1 4 7 189
Symmetry and Bates’ rule in Ornstein–Uhlenbeck stochastic volatility models 0 0 0 1 0 6 11 48
Symmetry and duality in Levy markets 0 0 0 47 2 6 8 200
Total Journal Articles 0 2 4 387 18 131 219 2,045

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Statistics updated 2026-04-09