Jose Santiago Fajardo Barbachan : Citation Profile


Are you Jose Santiago Fajardo Barbachan?

Fundação Getúlio Vargas (FGV)

6

H index

5

i10 index

158

Citations

RESEARCH PRODUCTION:

30

Articles

39

Papers

RESEARCH ACTIVITY:

   19 years (2000 - 2019). See details.
   Cites by year: 8
   Journals where Jose Santiago Fajardo Barbachan has often published
   Relations with other researchers
   Recent citing documents: 6.    Total self citations: 37 (18.97 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pfa47
   Updated: 2021-01-16    RAS profile: 2019-10-17    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Jose Santiago Fajardo Barbachan.

Is cited by:

Pascoa, Mario (12)

Torres-Martinez, Juan Pablo (10)

Tabak, Benjamin (9)

Araujo, Aloisio (8)

ORNELAS, JOSE (5)

Salanié, François (5)

attar, andrea (5)

bottazzi, jean-marc (5)

Nakane, Marcio (4)

Peñaloza, Rodrigo Andrés (4)

Zame, William (4)

Cites to:

de Farias, Aquiles (21)

Pascoa, Mario (16)

Araujo, Aloisio (15)

Wu, Liuren (13)

merton, robert (12)

Scholes, Myron (11)

Orrillo, Jaime (7)

Dubey, Pradeep (7)

He, Hua (6)

He, Hua (6)

Vanduffel, Steven (5)

Main data


Where Jose Santiago Fajardo Barbachan has published?


Journals with more than one article published# docs
Brazilian Review of Econometrics6
Revista Brasileira de Economia - RBE4
Journal of Banking & Finance3
Decisions in Economics and Finance2
Annals of Finance2
International Journal of Theoretical and Applied Finance (IJTAF)2
Quantitative Finance2

Working Papers Series with more than one paper published# docs
IBMEC RJ Economics Discussion Papers / Economics Research Group, IBMEC Business School - Rio de Janeiro7
MPRA Paper / University Library of Munich, Germany4
Working Papers Series / Central Bank of Brazil, Research Department2
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) / EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil)2

Recent works citing Jose Santiago Fajardo Barbachan (2021 and 2020)


YearTitle of citing document
2020Geometric Step Options with Jumps. Parity Relations, PIDEs, and Semi-Analytical Pricing. (2020). Mathys, Ludovic ; Farkas, Walter. In: Papers. RePEc:arx:papers:2002.09911.

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2020Double continuation regions for American options under Poisson exercise opportunities. (2020). Yamazaki, Kazutoshi ; Jos'e Luis P'erez, ; Palmowski, Zbigniew. In: Papers. RePEc:arx:papers:2004.03330.

Full description at Econpapers || Download paper

2020Path-dependent Kyle equilibrium model. (2020). Jos'e M. Corcuera, ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2006.06395.

Full description at Econpapers || Download paper

2020Tile test for back-testing risk evaluation. (2020). Zumbach, Gilles. In: Papers. RePEc:arx:papers:2007.12431.

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2020Early exercise boundaries for American-style knock-out options. (2020). Ruas, Joo Pedro ; Vidal, Joo Pedro ; Dias, Jose Carlos. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:2:p:753-766.

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2020Contingent Convertible bond literature review: making everything and nothing possible?. (2020). Oster, Philippe. In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:21:y:2020:i:4:d:10.1057_s41261-019-00122-z.

Full description at Econpapers || Download paper

Works by Jose Santiago Fajardo Barbachan:


YearTitleTypeCited
2009Skewness Premium with Lévy Processes In: CREATES Research Papers.
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paper3
2006Skewness Premium with Lévy Processes.(2006) In: IBMEC RJ Economics Discussion Papers.
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This paper has another version. Agregated cites: 3
paper
2013Barrier Options under L\evy Processes: a Simple Short-Cut In: Papers.
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paper0
2012Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options In: Working Papers Series.
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paper8
2012Estimating relative risk aversion, risk-neutral and real-world densities using brazilian real currency options.(2012) In: EBAPE Working Papers.
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This paper has another version. Agregated cites: 8
paper
2002Generalized Hyperbolic Distributions and Brazilian Data In: Working Papers Series.
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paper36
2003Generalized Hyperbolic Distributions and Brazilian Data.(2003) In: Finance Lab Working Papers.
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This paper has another version. Agregated cites: 36
paper
2004Generalized Hyperbolic Distributions and Brazilian Data.(2004) In: Brazilian Review of Econometrics.
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This paper has another version. Agregated cites: 36
article
2008A Goodness-of-Fit Test with Focus on Conditional Value at Risk In: Brazilian Review of Finance.
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article0
2004Endogenous Collateral In: Econometric Society 2004 Latin American Meetings.
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paper36
2005Endogenous collateral.(2005) In: Journal of Mathematical Economics.
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This paper has another version. Agregated cites: 36
article
2003Endogenous collateral.(2003) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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This paper has another version. Agregated cites: 36
paper
2004Endogenous Collateral.(2004) In: Finance Lab Working Papers.
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This paper has another version. Agregated cites: 36
paper
2004Pricing Derivatives on Two Lé}vy-driven Stocks In: Econometric Society 2004 North American Winter Meetings.
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2003Pricing Derivatives on Two Lévy-driven Stocks.(2003) In: Finance Lab Working Papers.
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This paper has another version. Agregated cites: 0
paper
2000Optimal Consumption and Investment with Levy Processes In: Econometric Society World Congress 2000 Contributed Papers.
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2003Optimal Consumption and Investment with Lévy Processes.(2003) In: Revista Brasileira de Economia - RBE.
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This paper has another version. Agregated cites: 0
article
2010Statistical arbitrage with default and collateral In: Economics Letters.
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article0
2008Statistical Arbitrage with Default and Collateral.(2008) In: Working Papers.
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This paper has another version. Agregated cites: 0
paper
2009Multivariate affine generalized hyperbolic distributions: An empirical investigation In: International Review of Financial Analysis.
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article2
2008Multivariate Affine Generalized Hyperbolic Distributions: An Empirical Investigation.(2008) In: IBMEC RJ Economics Discussion Papers.
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This paper has another version. Agregated cites: 2
paper
2010Market symmetry in time-changed Brownian models In: Finance Research Letters.
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article3
2009Existence of equilibrium in common agency games with adverse selection In: Games and Economic Behavior.
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article16
2006Existence of Equilibrium in Common Agency Games with Adverse Selection.(2006) In: IBMEC RJ Economics Discussion Papers.
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This paper has another version. Agregated cites: 16
paper
2006Existence of equilibrium in common agency games with adverse selection.(2006) In: FEUNL Working Paper Series.
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This paper has another version. Agregated cites: 16
paper
2010Derivative pricing using multivariate affine generalized hyperbolic distributions In: Journal of Banking & Finance.
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article5
2014Close form pricing formulas for Coupon Cancellable CoCos In: Journal of Banking & Finance.
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article10
2015Barrier style contracts under Lévy processes: An alternative approach In: Journal of Banking & Finance.
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article1
2005A note on arbitrage and exogenous collateral In: Mathematical Social Sciences.
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article0
2004A Note On Arbitrage and Exogenus Collateral.(2004) In: Finance Lab Working Papers.
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This paper has another version. Agregated cites: 0
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2009Pricing and optimality with default spreads In: The Quarterly Review of Economics and Finance.
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article0
2001Endogenous collateral: arbitrage and equilibrium without bounded short sales In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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2003Endogenous Collateral: Arbitrage and Equilibrium without Bounded Short Sales.(2003) In: Finance Lab Working Papers.
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This paper has another version. Agregated cites: 0
paper
2006Equivalent Martingale Measures and Lévy Processes In: Revista Brasileira de Economia - RBE.
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2004Equivalent Martingale Measures and Lévy Processes.(2004) In: Finance Lab Working Papers.
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This paper has another version. Agregated cites: 0
paper
2005Equivalent Martingale Measures and Lévy Processes.(2005) In: IBMEC RJ Economics Discussion Papers.
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paper
2010Interação Social e o Comportamento da Investidora Brasileira In: Revista Brasileira de Economia - RBE.
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article0
2016Optimal Insider Strategy with Law Penalties In: Revista Brasileira de Economia - RBE.
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article0
2003Volatility Estimation and Option Pricing with Fractional Brownian Motion In: Finance Lab Working Papers.
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paper2
2003Put-Call Duality and Symmetry In: Finance Lab Working Papers.
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paper1
2003Goodness-of-fit Tests focus on VaR Estimation In: Finance Lab Working Papers.
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paper2
2003Analyzing the Use of Generalized Hyperbolic Distributions to Value at Risk Calculations In: Finance Lab Working Papers.
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paper3
2004Concentração Bancária Brasileira: Uma Análise Microeconômica In: Finance Lab Working Papers.
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paper0
2004CAPM Usando uma Carteira Sintética do PIB Brasileiro In: Finance Lab Working Papers.
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paper1
2004Apreçamento de Derivativos Bidimensionais In: Finance Lab Working Papers.
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paper0
2004Arbitrage, Collateral and Utility Penalties In: Finance Lab Working Papers.
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paper0
2004Goodness-of-Fit Test focuses on Conditional Value at Risk:An Empirical Analysis of Exchange Rates In: Finance Lab Working Papers.
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paper0
2004Duality and Derivative Pricing with Lévy Processes In: Finance Lab Working Papers.
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paper0
2005Duality and Derivative Pricing with Lévy Processes.(2005) In: IBMEC RJ Economics Discussion Papers.
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This paper has another version. Agregated cites: 0
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2005Duality and Derivative Pricing with Time-Changed Lévy Processes In: IBMEC RJ Economics Discussion Papers.
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2008Symmetry and Time Changed Brownian Motions In: IBMEC RJ Economics Discussion Papers.
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2018Barrier style contracts under Lévy processes once again In: Annals of Finance.
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article1
2010Behavioral arbitrage with collateral and uncertain deliveries In: Annals of Finance.
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article0
2016A New Factor to Explain Implied Volatility Smirk In: MPRA Paper.
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paper1
2017A new factor to explain implied volatility smirk.(2017) In: Applied Economics.
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This paper has another version. Agregated cites: 1
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2016Power Style Contracts Under Asymmetric Lévy Processes In: MPRA Paper.
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2016On the optimal investment In: MPRA Paper.
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2019Bitcoins return behaviour: What do We know so far? In: MPRA Paper.
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2000Optimal Consumption and Investment with Hyperbolic Lévy Motion In: Brazilian Review of Econometrics.
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article1
2001Lévy processes and the Brazilian market In: Brazilian Review of Econometrics.
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2002Equilibrium in stochastic economies with incomplete financial markets In: Brazilian Review of Econometrics.
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article3
2006Goodness-of-?t Tests Focus on Value-at-Risk Estimation In: Brazilian Review of Econometrics.
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2008Duality and Symmetry with Time-Changed Lévy Processes In: Brazilian Review of Econometrics.
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2014Symmetry and Bates’ rule in Ornstein–Uhlenbeck stochastic volatility models In: Decisions in Economics and Finance.
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article1
2019Kyle equilibrium under random price pressure In: Decisions in Economics and Finance.
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article2
2014Skewness premium with L?vy processes In: Quantitative Finance.
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article3
2006Symmetry and duality in Levy markets In: Quantitative Finance.
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article13
2006PRICING DERIVATIVES ON TWO-DIMENSIONAL LÉVY PROCESSES In: International Journal of Theoretical and Applied Finance (IJTAF).
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article4
2018SKEWED LÉVY MODELS AND IMPLIED VOLATILITY SKEW In: International Journal of Theoretical and Applied Finance (IJTAF).
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