José Santiago Fajardo Barbachan
José Santiago Fajardo Barbachan
FGV-EBAPE
Bestätigte E-Mail-Adresse bei fgv.br - Startseite
Titel
Zitiert von
Zitiert von
Jahr
Symmetry and duality in Lévy markets
J Fajardo, E Mordecki
Quantitative finance 6 (3), 219-227, 2006
81*2006
Endogenous collateral
A Araujo, J Fajardo, MR Páscoa
Journal of Mathematical Economics 41 (4), 439-462, 2005
622005
Generalizaed Hyperbolic Distributions and Brazilian Data
J Fajardo, A Farias
Brazilian Review of Econometrics 24 (2), 1-21, 2004
572004
Close form pricing formulas for Coupon Cancellable CoCos
JM Corcuera, J De Spiegeleer, J Fajardo, H Jönsson, W Schoutens, ...
Journal of Banking & Finance 42, 339-351, 2014
472014
Pricing derivatives on two-dimensional Lévy processes
J Fajardo, E Mordecki
International journal of theoretical and applied finance 9 (02), 185-197, 2006
32*2006
Skewness premium with Lévy processes
J Fajardo, E Mordecki
Quantitative Finance 14 (9), 1619-1626, 2014
30*2014
Existence of equilibrium in common agency games with adverse selection
G Carmona, J Fajardo
Games and Economic Behavior 66 (2), 749-760, 2009
26*2009
Concentração Bancária Brasileira: Uma Análise Microeconômica
J Fajardo, M Fonseca
Finance Lab Working Papers, 2004
25*2004
Apreçamento de opções de IDI usando o modelo CIR
JSF Barbachan, JRH Ornelas
Estudos Econômicos (São Paulo) 33 (2), 287-323, 2003
222003
Seasonal effects on the Bovespa Index
J Fajardo, R Pereira
Brazilian Business Review 5 (3), 233-241, 2008
21*2008
CAPM usando uma carteira sintética do PIB Brasileiro
E Araújo, J Fajardo, LC Tavani
Estudos Econômicos (São Paulo) 36 (3), 465-505, 2006
202006
Analyzing the use of generalized hyperbolic distributions to value at risk calculations
J Fajardo, A Farias, JR Ornelas
Brazilian Journal of Applied Economics 9 (1), 25-38, 2005
192005
Estimating risk aversion, risk-neutral and real-world densities using Brazilian Real currency options
J Fajardo, JRH Ornelas, AR Farias
Economia Aplicada 16 (4), 567-577, 2012
18*2012
Multivariate affine generalized hyperbolic distributions: an empirical investigation
J Fajardo, A Farias
International Review of Financial Analysis 18 (4), 174-184, 2009
162009
Derivative pricing using multivariate affine generalized hyperbolic distributions
J Fajardo, A Farias
Journal of Banking & Finance 34 (7), 1607-1617, 2010
142010
A note on arbitrage and exogenous collateral
J Fajardo
Mathematical Social Sciences 50 (3), 336-341, 2005
14*2005
Volatility estimation and option pricing with fractional Brownian motion
D Cajueiro, J Fajardo
Available at SSRN 837765, 2005
142005
Lévy processes and the Brazilian market
JF Barbachan, AR Schuschny, A de Castro Silva
Brazilian review of econometrics 21 (2), 263-289, 2001
132001
Barrier style contracts under Lévy processes: an alternative approach
J Fajardo
Journal of Banking & Finance 53, 179–187, 2015
102015
Market symmetry in time-changed Brownian models
J Fajardo, E Mordecki
Finance Research Letters 7 (1), 53-59, 2010
102010
Das System kann den Vorgang jetzt nicht ausführen. Versuchen Sie es später erneut.
Artikel 1–20