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 1 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 1 1 2 48
Duality and Derivative Pricing with Lévy Processes 0 0 0 193 0 0 0 496
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 2 2 241
Endogenous collateral: arbitrage and equilibrium without bounded short sales 0 0 0 16 0 0 1 190
Equivalent Martingale Measures and Lévy Processes 0 0 0 148 0 0 1 407
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 2 2 4 262
Existence of equilibrium in common agency games with adverse selection 0 0 0 46 1 1 1 188
Generalized Hyperbolic Distributions and Brazilian Data 0 0 0 28 0 1 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 1 3 67
Optimal Consumption and Investment with Levy Processes 0 0 0 160 2 2 2 361
Power Style Contracts Under Asymmetric Lévy Processes 0 0 0 8 0 1 2 28
Pricing Derivatives on Two Lé}vy-driven Stocks 0 0 0 95 0 1 2 330
Skewness Premium with Lévy Processes 0 0 0 55 1 1 2 173
Skewness Premium with Lévy Processes 0 0 1 80 1 1 4 231
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 11 15 40 4,901
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 3 3 4 29
A new factor to explain implied volatility smirk 0 0 1 3 1 1 3 12
A note on arbitrage and exogenous collateral 0 0 0 18 1 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 1 2 125
Close form pricing formulas for Coupon Cancellable CoCos 0 0 2 32 0 0 3 146
Derivative pricing using multivariate affine generalized hyperbolic distributions 0 0 0 36 1 1 1 91
Duality and Symmetry with Time-Changed Lévy Processes 0 0 0 1 0 0 1 12
Endogenous collateral 0 0 0 96 2 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 1 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 1 1 1 2 2 3 4 27
Goodness-of-fit Tests Focus on Value-at-Risk Estimation 0 0 2 8 2 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 1 1 2 19
Lévy processes and the Brazilian market 0 0 0 1 1 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 1 3 102
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 0 0 0 16
Optimal Insider Strategy with Law Penalties 0 0 0 5 0 0 2 19
PRICING DERIVATIVES ON TWO-DIMENSIONAL LÉVY PROCESSES 0 0 0 2 1 2 3 13
Pricing and optimality with default spreads 0 0 0 5 0 0 0 25
SKEWED LÉVY MODELS AND IMPLIED VOLATILITY SKEW 0 0 0 6 0 0 0 30
Skewness premium with L�vy processes 0 0 0 5 0 1 1 35
Statistical arbitrage with default and collateral 0 0 0 33 1 1 3 185
Symmetry and Bates’ rule in Ornstein–Uhlenbeck stochastic volatility models 0 0 0 1 2 2 4 39
Symmetry and duality in Levy markets 0 0 0 47 1 1 1 193
Total Journal Articles 1 1 6 385 22 25 63 1,871

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Statistics updated 2025-11-08