6
H index
6
i10 index
178
Citations
Jose Santiago Fajardo Barbachan : Citation Profile
Fundação Getúlio Vargas (FGV) | RESEARCH PRODUCTION: 30 Articles 39 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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19 years (2000 - 2019). 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:
| Cites to:
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Main data
Where Jose Santiago Fajardo Barbachan has published?
| Journals with more than one article published | # docs |
|---|---|
| Brazilian Review of Econometrics | 6 |
| Revista Brasileira de Economia - RBE | 4 |
| Journal of Banking & Finance | 3 |
| Quantitative Finance | 2 |
| Decisions in Economics and Finance | 2 |
| Annals of Finance | 2 |
| International Journal of Theoretical and Applied Finance (IJTAF) | 2 |
Recent works citing Jose Santiago Fajardo Barbachan (2022 and 2021)
| Year | Title of citing document |
|---|---|
| 2021 | On pricing rules and optimal strategies in general Kyle-Back models. (2018). Danilova, Albina ; Ccetin, Umut. In: Papers. RePEc:arx:papers:1812.07529. Full description at Econpapers || Download paper |
| 2022 | Path-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 |
| 2021 | Implied volatility smirk in the Australian dollar market. (2021). Ruan, Xinfeng ; Zhang, Jin E ; Gehricke, Sebastian A. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:3:p:4573-4599. Full description at Econpapers || Download paper |
| 2021 | Double continuation regions for American options under Poisson exercise opportunities. (2021). Perez, Jose Luis ; Palmowski, Zbigniew ; Yamazaki, Kazutoshi. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:2:p:722-771. Full description at Econpapers || Download paper |
| 2022 | A City of God: Afterlife Beliefs and Job Support in Brazil. (2022). Vaziri, M ; Roerig, C ; Rauh, C ; Iyer, S ; Cavalcanti, T. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2268. Full description at Econpapers || Download paper |
| 2022 | Banks to basics! Why banking regulation should focus on equity. (2022). le Quang, Gaetan ; Durand, Pierre. In: European Journal of Operational Research. RePEc:eee:ejores:v:301:y:2022:i:1:p:349-372. Full description at Econpapers || Download paper |
| 2022 | Invariant equilibria and classes of equivalent games. (2022). Bagh, Adib ; Lepore, Jason J ; Allison, Blake A. In: Games and Economic Behavior. RePEc:eee:gamebe:v:132:y:2022:i:c:p:448-462. Full description at Econpapers || Download paper |
| 2021 | On the preferences of CoCo bond buyers and sellers. (2021). Caporale, Guglielmo Maria ; Kang, Woo-Young. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000330. Full description at Econpapers || Download paper |
| 2021 | Production, bankruptcy, and financial policies under collateral constraints. (2021). Leon-Ledesma, Miguel ; Orrillo, Jaime. In: Mathematical Social Sciences. RePEc:eee:matsoc:v:112:y:2021:i:c:p:109-119. Full description at Econpapers || Download paper |
| 2022 | Portfolio optimization under multivariate affine generalized hyperbolic distributions. (2022). Tan, Ken Seng ; Li, Bin ; Liu, Kai ; Wang, Chou-Wen. In: International Review of Economics & Finance. RePEc:eee:reveco:v:80:y:2022:i:c:p:49-66. Full description at Econpapers || Download paper |
| 2021 | On pricing rules and optimal strategies in general Kyle-Back models. (2021). Cetin, Umut ; Danilova, Albina. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:113003. Full description at Econpapers || Download paper |
| 2022 | Interactive Information Design. (2022). Tomala, Tristan ; Laclau, Marie ; Koessler, Frederic. In: Post-Print. RePEc:hal:journl:halshs-01791918. Full description at Econpapers || Download paper |
| 2022 | Interactive Information Design. (2022). Tomala, Tristan ; Laclau, Marie ; Koessler, Frederic. In: PSE-Ecole d'économie de Paris (Postprint). RePEc:hal:pseptp:halshs-01791918. Full description at Econpapers || Download paper |
| 2022 | Competitive nonlinear pricing under adverse selection. (2022). Salanie, Franois ; Mariotti, Thomas ; Attar, Andrea. In: Working Papers. RePEc:hal:wpaper:hal-03629592. Full description at Econpapers || Download paper |
| 2021 | Aversión al riesgo implícita en los precios de mercado de diferentes activos financieros de Argentina. (2021). Pesce, Gabriela ; Milanesi, Gaston ; Chavez, Etelvina Stefani. In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance). RePEc:imx:journl:v:16:y:2021:i:1:a:8. Full description at Econpapers || Download paper |
| 2021 | Regulating Insurance Markets: Multiple Contracting and Adverse Selection. (2019). Salanie, Franois ; Mariotti, Thomas ; Attar, Andrea. In: TSE Working Papers. RePEc:tse:wpaper:123328. Full description at Econpapers || Download paper |
| 2022 | Competitive Nonlinear Pricing under Adverse Selection. (2021). attar, andrea ; Salanie, Franois ; Mariotti, Thomas. In: TSE Working Papers. RePEc:tse:wpaper:125475. Full description at Econpapers || Download paper |
| 2022 | Robust Contracts in Common Agency. (2022). Tondji, Jean-Baptiste ; Ocampo, Sergio ; Marku, Keeler. In: University of Western Ontario, Departmental Research Report Series. RePEc:uwo:uwowop:20222. Full description at Econpapers || Download paper |
Works by Jose Santiago Fajardo Barbachan:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2009 | Skewness Premium with Lévy Processes In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
| 2006 | Skewness Premium with Lévy Processes.(2006) In: IBMEC RJ Economics Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 2013 | Barrier Options under L\evy Processes: a Simple Short-Cut In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options In: Working Papers Series. [Full Text][Citation analysis] | paper | 10 |
| 2012 | Estimating relative risk aversion, risk-neutral and real-world densities using brazilian real currency options.(2012) In: EBAPE Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
| 2002 | Generalized Hyperbolic Distributions and Brazilian Data In: Working Papers Series. [Full Text][Citation analysis] | paper | 36 |
| 2003 | Generalized Hyperbolic Distributions and Brazilian Data.(2003) In: Finance Lab Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | paper | |
| 2004 | Generalized Hyperbolic Distributions and Brazilian Data.(2004) In: Brazilian Review of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | article | |
| 2008 | A Goodness-of-Fit Test with Focus on Conditional Value at Risk In: Brazilian Review of Finance. [Full Text][Citation analysis] | article | 0 |
| 2004 | Endogenous Collateral In: Econometric Society 2004 Latin American Meetings. [Full Text][Citation analysis] | paper | 37 |
| 2005 | Endogenous collateral.(2005) In: Journal of Mathematical Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 37 | article | |
| 2003 | Endogenous collateral.(2003) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] This paper has another version. Agregated cites: 37 | paper | |
| 2004 | Endogenous Collateral.(2004) In: Finance Lab Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 37 | paper | |
| 2004 | Pricing Derivatives on Two Lé}vy-driven Stocks In: Econometric Society 2004 North American Winter Meetings. [Full Text][Citation analysis] | paper | 0 |
| 2003 | Pricing Derivatives on Two Lévy-driven Stocks.(2003) In: Finance Lab Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2000 | Optimal Consumption and Investment with Levy Processes In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 0 |
| 2003 | Optimal Consumption and Investment with Lévy Processes.(2003) In: Revista Brasileira de Economia - RBE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 2010 | Statistical arbitrage with default and collateral In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 2008 | Statistical Arbitrage with Default and Collateral.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2009 | Multivariate affine generalized hyperbolic distributions: An empirical investigation In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 3 |
| 2008 | Multivariate Affine Generalized Hyperbolic Distributions: An Empirical Investigation.(2008) In: IBMEC RJ Economics Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 2010 | Market symmetry in time-changed Brownian models In: Finance Research Letters. [Full Text][Citation analysis] | article | 3 |
| 2009 | Existence of equilibrium in common agency games with adverse selection In: Games and Economic Behavior. [Full Text][Citation analysis] | article | 23 |
| 2006 | Existence of Equilibrium in Common Agency Games with Adverse Selection.(2006) In: IBMEC RJ Economics Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
| 2006 | Existence of equilibrium in common agency games with adverse selection.(2006) In: Nova SBE Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
| 2010 | Derivative pricing using multivariate affine generalized hyperbolic distributions In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 6 |
| 2014 | Close form pricing formulas for Coupon Cancellable CoCos In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 14 |
| 2015 | Barrier style contracts under Lévy processes: An alternative approach In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 1 |
| 2005 | A note on arbitrage and exogenous collateral In: Mathematical Social Sciences. [Full Text][Citation analysis] | article | 0 |
| 2004 | A Note On Arbitrage and Exogenus Collateral.(2004) In: Finance Lab Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2009 | Pricing and optimality with default spreads In: The Quarterly Review of Economics and Finance. [Full Text][Citation analysis] | article | 0 |
| 2001 | Endogenous collateral: arbitrage and equilibrium without bounded short sales In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] | paper | 0 |
| 2003 | Endogenous Collateral: Arbitrage and Equilibrium without Bounded Short Sales.(2003) In: Finance Lab Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2006 | Equivalent Martingale Measures and Lévy Processes In: Revista Brasileira de Economia - RBE. [Full Text][Citation analysis] | article | 0 |
| 2004 | Equivalent Martingale Measures and Lévy Processes.(2004) In: Finance Lab Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2005 | Equivalent Martingale Measures and Lévy Processes.(2005) In: IBMEC RJ Economics Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2010 | Interação Social e o Comportamento da Investidora Brasileira In: Revista Brasileira de Economia - RBE. [Full Text][Citation analysis] | article | 0 |
| 2016 | Optimal Insider Strategy with Law Penalties In: Revista Brasileira de Economia - RBE. [Full Text][Citation analysis] | article | 0 |
| 2003 | Volatility Estimation and Option Pricing with Fractional Brownian Motion In: Finance Lab Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2003 | Put-Call Duality and Symmetry In: Finance Lab Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2003 | Goodness-of-fit Tests focus on VaR Estimation In: Finance Lab Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2003 | Analyzing the Use of Generalized Hyperbolic Distributions to Value at Risk Calculations In: Finance Lab Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2004 | Concentração Bancária Brasileira: Uma Análise Microeconômica In: Finance Lab Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2004 | CAPM Usando uma Carteira Sintética do PIB Brasileiro In: Finance Lab Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2004 | Apreçamento de Derivativos Bidimensionais In: Finance Lab Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2004 | Arbitrage, Collateral and Utility Penalties In: Finance Lab Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2004 | Goodness-of-Fit Test focuses on Conditional Value at Risk:An Empirical Analysis of Exchange Rates In: Finance Lab Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2004 | Duality and Derivative Pricing with Lévy Processes In: Finance Lab Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2005 | Duality and Derivative Pricing with Lévy Processes.(2005) In: IBMEC RJ Economics Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2005 | Duality and Derivative Pricing with Time-Changed Lévy Processes In: IBMEC RJ Economics Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Symmetry and Time Changed Brownian Motions In: IBMEC RJ Economics Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Barrier style contracts under Lévy processes once again In: Annals of Finance. [Full Text][Citation analysis] | article | 1 |
| 2010 | Behavioral arbitrage with collateral and uncertain deliveries In: Annals of Finance. [Full Text][Citation analysis] | article | 0 |
| 2016 | A New Factor to Explain Implied Volatility Smirk In: MPRA Paper. [Full Text][Citation analysis] | paper | 2 |
| 2017 | A new factor to explain implied volatility smirk.(2017) In: Applied Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
| 2016 | Power Style Contracts Under Asymmetric Lévy Processes In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2016 | On the optimal investment In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Bitcoins return behaviour: What do We know so far? In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2000 | Optimal Consumption and Investment with Hyperbolic Lévy Motion In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2001 | Lévy processes and the Brazilian market In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2002 | Equilibrium in stochastic economies with incomplete financial markets In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 3 |
| 2006 | Goodness-of-?t Tests Focus on Value-at-Risk Estimation In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2008 | Duality and Symmetry with Time-Changed Lévy Processes In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2014 | Symmetry and Bates’ rule in Ornstein–Uhlenbeck stochastic volatility models In: Decisions in Economics and Finance. [Full Text][Citation analysis] | article | 1 |
| 2019 | Kyle equilibrium under random price pressure In: Decisions in Economics and Finance. [Full Text][Citation analysis] | article | 3 |
| 2014 | Skewness premium with L?vy processes In: Quantitative Finance. [Full Text][Citation analysis] | article | 3 |
| 2006 | Symmetry and duality in Levy markets In: Quantitative Finance. [Full Text][Citation analysis] | article | 14 |
| 2006 | PRICING DERIVATIVES ON TWO-DIMENSIONAL LÉVY PROCESSES In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 4 |
| 2018 | SKEWED LÉVY MODELS AND IMPLIED VOLATILITY SKEW In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2023. Contact: CitEc Team