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José Santiago Fajardo Barbachan
José Santiago Fajardo Barbachan
FGV-EBAPE
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Symmetry and duality in Lévy markets
J Fajardo, E Mordecki
Quantitative finance 6 (3), 219-227, 2006
88*2006
Endogenous collateral
A Araujo, J Fajardo, MR Páscoa
Journal of Mathematical Economics 41 (4), 439-462, 2005
632005
Generalizaed Hyperbolic Distributions and Brazilian Data
J Fajardo, A Farias
Brazilian Review of Econometrics 24 (2), 1-21, 2004
592004
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
492014
Pricing derivatives on two-dimensional Lévy processes
J Fajardo, E Mordecki
International journal of theoretical and applied finance 9 (02), 185-197, 2006
35*2006
Skewness premium with Lévy processes
J Fajardo, E Mordecki
Quantitative Finance 14 (9), 1619-1626, 2014
32*2014
Existence of equilibrium in common agency games with adverse selection
G Carmona, J Fajardo
Games and Economic Behavior 66 (2), 749-760, 2009
32*2009
Estimating risk aversion, risk-neutral and real-world densities using Brazilian Real currency options
J Fajardo, JRH Ornelas, AR Farias
Economia Aplicada 16, 567-577, 2012
31*2012
Apreçamento de opções de IDI usando o modelo CIR
JSF Barbachan, JRH Ornelas
Estudos Econômicos (São Paulo) 33 (2), 287-323, 2003
292003
Understanding the impact of severe hyperinflation experience on current household investment behavior
J Fajardo, M Dantas
Journal of Behavioral and Experimental Finance 17, 60-67, 2018
242018
Concentração Bancária Brasileira: Uma Análise Microeconômica
J Fajardo, M Fonseca
Finance Lab Working Papers, 2004
23*2004
On the propensity to issue contingent convertible (CoCo) bonds
J Fajardo, L Mendes
Quantitative Finance 20 (4), 691-707, 2020
222020
Seasonal effects on the Bovespa Index
J Fajardo, R Pereira
Brazilian Business Review 5 (3), 233-241, 2008
22*2008
CAPM usando uma carteira sintética do PIB Brasileiro
E Araújo, J Fajardo, LC Tavani
Estudos Econômicos (São Paulo) 36 (3), 465-505, 2006
212006
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
212005
Multivariate affine generalized hyperbolic distributions: an empirical investigation
J Fajardo, A Farias
International Review of Financial Analysis 18 (4), 174-184, 2009
192009
Políticas públicas para o desenvolvimento sustentável: dos mínimos sociais dos objetivos de desenvolvimento do milênio à agenda multissetorial e integrada de desenvolvimento …
MA Ruediger, PM Jannuzzi, B Meirelles, J Pimentel
152018
Derivative pricing using multivariate affine generalized hyperbolic distributions
J Fajardo, A Farias
Journal of Banking & Finance 34 (7), 1607-1617, 2010
152010
Volatility estimation and option pricing with fractional Brownian motion
D Cajueiro, J Fajardo
Available at SSRN 837765, 2005
152005
A note on arbitrage and exogenous collateral
J Fajardo
Mathematical Social Sciences 50 (3), 336-341, 2005
14*2005
El sistema no puede realizar la operación en estos momentos. Inténtalo de nuevo más tarde.
Artículos 1–20