Research by José Fajardo
Kyle equilibrium under random price
pressure., forthcoming Decisions in Economics and Finance,
with José Manuel Corcuera and Julia Di Nunno .
Understanding the Impact of Severe Hyperinflation Experience on Current Household Investment Behavior. Journal of Behavioral and Experimental Finance, Volume 17, Issue 1, 2018, Pages 60-67. (with Manuela Dantas). SSRN
Barrier Style Contracts under Lévy Processes Once Again. Annals of Finance, Volume 14, Issue 1, 2018, Pages 93-103.
On the Optimal Investment. In "Advanced Modeling in Mathematical Finance. In Honour of Ernst Eberlein" (Eds. J. Kallsen, A. Papapantoleon). Springer, Pages 313-330, (with José Manuel Corcuera and Olivier Menouken Pamen). December 2016.
Extension Risk: A Structural Approach. In ‘‘The Fascination of Probability,
Statistics and Their Applications. In Honour of Ole E. Barndorff-Nielsen’s 80th
birthday’’ (Eds. Podolskij, M., Stelzer, R., Thorbjørnsen,
S., Veraart, A.E.D. ).
Springer, Pages 447-464, (with José Manuel Corcuera, Wim Schoutens and Arturo
Valdivia). January 2016.
Contract Style with Lévy Processes: An Alternative Approach, Journal of Banking &Finance, Volume 53, April 2015, Pages 179-187.
Close form pricing formulas for CoCa CoCos, Journal of Banking &Finance, Volume 42, Issue 1, May 2014, Pages 339-351, (with J.Corcuera, W.Schoutens, H.Jonsson, J. Spiegeleer and A. Valdivia)
Skewness Premium with Lévy processes, Quantitative Finance, Volume 14, Issue 9, Set 2014, Pages 1619-1626, (with Ernesto Mordecki).
Symmetry and Bates’ rule in Orstein-Uhlenbeck Stochastic Volatility Models, Decisions in Economics and Finance, , Issue 2, Oct 2014, Pages 319-327
Statistical Arbitrage with Default and Collateral, Economics Letters, Volume 108, Issue 1, July 2010, Pages 81-84, (with Ana Lacerda).
Derivative Pricing using Multivariate Affine Generalized Hyperbolic Distributions, Journal of Banking &Finance, Volume 34, Issue 7, July 2010, Pages 1607-1617,(with Aquiles Farias)
Market Symmetry in Time Changed Brownian Models, Finance Research Letters, Volume 7, Issue 4, March 2010, Pages 53-57, (with Ernesto Mordecki).
Behavioral Arbitrage with Default and Uncertain Deliveries, Annals of Finance, Volume 6, Issue 2, March 2010, Pages 241-254.
Multivariate Affine Generalized Hyperbolic Distributions: An Empirical Investigation, International Review of Financial Analysis, Volume 18, Issue 4, September 2009, Pages 174-184, (with Aquiles Farias).
Existence of Equilibrium in Common Agency Games with Adverse Selection, Games and Economic Behavior, Volume 66, Issue 2, July 2009, Pages 749-760, (with Guilherme Carmona).
Pricing and Optimality with Default Spreads, Quarterly Review of Economics and Finance, Volume 49, Issue 2, May 2009, Pages 686-692.
Symmetry and Duality in Lévy Markets, Quantitative Finance, Volume 6, Issue 3, June 2006, Pages 219-227, (with Ernesto Mordecki).
Pricing Derivatives on Two Dimensional Lévy Processes, International Journal of Theoretical and Applied Finance. Volume 9, Issue 2, March 2006, Pages 185-197, (with Ernesto Mordecki).
A Note on Pricing, Duality and Symmetry for Two Dimensional Lévy Markets In "From Stochastic Analysis to Mathematical Finance -Festschrift for A.N. Shiryaev". (Eds. Y. Kabanov, R. Lipster and J. Stoyanov). Springer Verlag, New York, Pages 249-256, (with Ernesto Mordecki). April 2006.
Equilibrio en Economias Estocásticas, en Ensayos en Economía Dinámica, Economía Aplicada y Teoría de Juegos: Homenaje a Ramón García-Cobián. (Loretta Gasco y César Martinelli, Editores). 2006.
Endogenous Collateral , Journal of Mathematical Economics, Volume 41, Issues 4-5, August 2005, Pages 439-462. (with Aloisio Araújo and Mario R.Páscoa).
A Note on Arbitrage and Exogenous Collateral, Mathematical Social Sciences, Volume 50, Issue 3, November 2005, Pages 336-341
Arbitrage and Pricing with Collateral, In Mathematical Finance: Workshop of the Mathematical Finance Research Project, Konstaz, Germany, October 5-7, 2000. (Eds. Kohlmann, M. & Tang, Shanjian). Birkhauser Verlag, Pages 69-78.
Impunity and Rationality in a Market for Offenses. Economic Analysis of Law Review, Volume 8, Issue 1, 264-276, 2017, (with Jaime Orrillo).
Optimal Insider Strategy with Law Penalties. Revista Brasileira de Economia, Volume 70, Issue 1, 31-40, 2016.
Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities Using Brazilian Real Currency Options, Brazilian Journal of Applied Economics, Volume 16, Issue. 4, 665-675, 2012. (with Aquiles Farias and José Renato Ornelas).
Proceso de Meixner: Teoria e Aplicações no Mercado Financeiro Brasileiro, Estudos Econômicos, Volume 41, Issue 2, 383-408, 2011. (with Felipe Gomes).
Social Interactions and the Behaviour of Women in the Brazilian Capital Markets, Revista Brasileira de Economia, Volume 64, Issue 3, 245-260, 2010. (with Sandra Blanco).
Goodness-of-Fit Test focuses on Conditional Value at Risk: An Empirical Analysis of Exchange Rates, Brazilian Review of Finance, Volume 6, Issue 2, 139-155, 2008. (with José Ornelas and Aquiles Farias).
Duality and Derivative Pricing with Time-Changed Lévy Processes , Brazilian Review of Econometrics, Volume 28, Issue 1 , 95-110, 2008, (with Ernesto Mordecki).
Sazonalities in Ibovespa Index, Brazilian Business Review, Volume. 5, N. 3, 244-254, 2008, (with Rafael Pereira).
CAPM using a synthetic portfolio of Brazilian GDP, Estudos Econômicos Volume 36, N. 3, 465-505, 2006, (with E. Araujo and L. Di Tavanni).
Goodness-of-fit Test focuses on VaR Estimation, Brazilian Review of Econometrics Volume 26, N. 2, 309-326, 2006, (with José Ornelas and Aquiles Farias).
Equivalent Martingale Measures and Lévy Processes, Revista Brasileira de Economia Volume 60, N. 4, 353-361, 2006
Analyzing The Use of Generalized Hyperbolic Distributions to VaR Calculations, Brazilian Journal of Applied Economics, Volume 9, Issue 1, 25-38, 2005. (with José Ornelas and Aquiles Farias).
Pricing of Bidimensional Options, Brazilian Journal of Applied Economics, Volume 9, Issue 3, 385-414, 2005. (with Hugo Azevedo).
Generalized Hyperbolic Distributions and Brazilian Data, Brazilian Review of Econometrics, Volume 24, Issue 2, 1-21, 2004. (with Aquiles Farias).
Optimal Consumption and Investment with Lévy Processes, Revista Brasileira de Economia, Volume 57, N. 4, 825-848, 2003.
Apreçamento de Opções de IDI usando Distribuições Hiperbólicas Generalizadas, Brazilian Journal of Applied Economics, Volume 7, Issue 4, 767-794, 2003. (with José Ornelas).
Apreçamento de Opções de IDI usando o modelo CIR, Estudos Econômicos, Volume 33, N. 2, 287-323, 2003. (with José Ornelas).
Equilibrium in Stochastic Economies with Incomplete Financial Markets, Brazilian Review of Econometrics, Volume 22, Issue 1, 67-102, 2002.
Lévy Processes and Brazilian Market, Brazilian Review of Econometrics, Volume 21, Issue 2, 263-289, 2001. (with Andres Schuschny and André Silva).
Optimal Consumption and Investment with Hyperbolic Lévy Motion, Brazilian Review of Econometrics, Volume 20, Issue 1, 27-54, 2000.
Bitcoin Option Pricing with Jumps
Cryptocurrencies Portfolio Management under Tail Risk
On the Propensity to Issue Contingent Convertible (CoCo) Bonds, with Layla Mendes. Submitted
CoCo Bonds and Systemic Risk, with Layla Mendes.
Pricing of CoCo Bonds with Unexpected Risks , with José Manuel Corcuera and Wim Schoutens
and Individual Portfolio Choice, with Manuela Dantas. Submitted
Works in Progress
Equilibria in Kyle-Back's model with Risk Averse Insiders , with José Manuel Corcuera and Julia DiNuno
Endogenous Collateral and Pareto Efficiency, with Aloisio Araujo e Mario Páscoa
Cost-Efficiency in Skewed Lévy Models, with Ernesto Mordecki and Federico De Olivera
Intergenerational Effect on Individual Investment Decisions, with Manuela Dantas
Old Working Papers