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José Fajardo

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Personal Details

First Name: José
Middle Name:
Last Name: Fajardo
Suffix:

RePEc Short-ID: pfa47

Email:
Homepage: http://www.josefajardo.com
Postal Address: Praia de Botafogo 190 sala 534 Botafogo Rio de Janeiro. RJ
Phone: 55 21 9136 8356

Affiliation

Escola Brasileira de Admistração Pública e de Empresas (EBAPE)
Fundação Getulio Vargas
Location: Rio de Janeiro, Brazil
Homepage: http://ebape.fgv.br/
Email:
Phone:
Fax:
Postal: Praia de Botafogo, 190, CEP 22253-900, Rio de Janeiro
Handle: RePEc:edi:ebfgvbr (more details at EDIRC)

Works

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Working papers

  1. Jos\'e Fajardo, 2013. "Barrier Options under L\'evy Processes: a Simple Short-Cut," Papers 1303.6340, arXiv.org, revised May 2013.
  2. José Renato Haas Ornelas & José Santiago Fajardo Barbachan & Aquiles Rocha de Farias, 2012. "Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options," Working Papers Series, Central Bank of Brazil, Research Department 269, Central Bank of Brazil, Research Department.
  3. José Fajardo & Ernesto Mordecki, 2008. "Symmetry and Time Changed Brownian Motions," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro 2008-02, Economics Research Group, IBMEC Business School - Rio de Janeiro.
  4. José Fajardo & Aquiles Farias, 2008. "Multivariate Affine Generalized Hyperbolic Distributions: An Empirical Investigation," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro 2008-01, Economics Research Group, IBMEC Business School - Rio de Janeiro.
  5. José Fajardo & Ana Lacerda, 2008. "Statistical Arbitrage with Default and Collateral," Working Papers, Banco de Portugal, Economics and Research Department w200808, Banco de Portugal, Economics and Research Department.
  6. José Fajardo & Ernesto Mordecki, 2006. "Skewness Premium with Lévy Processes," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro 2006-04, Economics Research Group, IBMEC Business School - Rio de Janeiro.
  7. Carmona, Guilherme & Fajardo, Jose, 2006. "Existence of Equilibrium in Common Agency Games with Adverse Selection," FEUNL Working Paper Series wp490, Universidade Nova de Lisboa, Faculdade de Economia.
  8. José Fajardo & Ernesto Mordecki, 2005. "Duality and Derivative Pricing with Time-Changed Lévy Processes," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro 2005-12, Economics Research Group, IBMEC Business School - Rio de Janeiro.
  9. Fajardo, J., 2004. "Equivalent Martingale Measures and Lévy Processes," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa flwp_61, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  10. Mário Páscoa & Aloisio Araujo & José Fajardo, 2004. "Endogenous Collateral," Econometric Society 2004 Latin American Meetings, Econometric Society 161, Econometric Society.
  11. Fajardo, J., 2004. "Arbitrage, Collateral and Utility Penalties," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa flwp_69, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  12. Azevedo H. & Fajardo, J., 2004. "Apreçamento de Derivativos Bidimensionais," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa flwp_64, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  13. Fajardo, J., 2004. "A Note On Arbitrage and Exogenus Collateral," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa flwp_62, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  14. Araújo, E. & Fajardo, J. & Tavani, L., 2004. "CAPM Usando uma Carteira Sintética do PIB Brasileiro," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa flwp_63, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  15. Fajardo, J. & Fonseca, M., 2004. "Concentração Bancária Brasileira: Uma Análise Microeconômica," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa flwp_60, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  16. Farias, A. R. & Ornelas, J. R. H & Fajardo, J., 2004. "Goodness-of-Fit Test focuses on Conditional Value at Risk:An Empirical Analysis of Exchange Rates," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa flwp_70, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  17. Fajardo, J. & Mordeckiz, E., 2004. "Duality and Derivative Pricing with Lévy Processes," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa flwp_71, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  18. Fajardo, J. & Farias, A. R. & Ornelas, J. R. H., 2003. "Analyzing the Use of Generalized Hyperbolic Distributions to Value at Risk Calculations," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa flwp_58, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  19. Fajardo, J. & Cajueiro, D. O., 2003. "Volatility Estimation and Option Pricing with Fractional Brownian Motion," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa flwp_53, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  20. Fajardo, J. & Mordecki, E., 2003. "Put-Call Duality and Symmetry," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa flwp_54, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  21. Fajardo, J. & Mordeckiy, E., 2003. "Pricing Derivatives on Two Lévy-driven Stocks," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa flwp_56, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  22. Fajardo, J. & Farias, A., 2003. "Generalized Hyperbolic Distributions and Brazilian Data," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa flwp_57, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  23. Fajardo, J. & Farias, A. R & Ornelas, J. R. H, 2003. "Goodness-of-fit Tests focus on VaR Estimation," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa flwp_55, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  24. Araujo, A. & Fajardo, J & Páscoa, M. R., 2003. "Endogenous Collateral: Arbitrage and Equilibrium without Bounded Short Sales," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa flwp_52, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  25. Jose Fajardo Barbachan, 2000. "Optimal Consumption and Investment with Levy Processes," Econometric Society World Congress 2000 Contributed Papers, Econometric Society 1146, Econometric Society.

Articles

  1. Corcuera, José Manuel & De Spiegeleer, Jan & Fajardo, José & Jönsson, Henrik & Schoutens, Wim & Valdivia, Arturo, 2014. "Close form pricing formulas for Coupon Cancellable CoCos," Journal of Banking & Finance, Elsevier, Elsevier, vol. 42(C), pages 339-351.
  2. Fajardo, José & Mordecki, Ernesto, 2010. "Market symmetry in time-changed Brownian models," Finance Research Letters, Elsevier, Elsevier, vol. 7(1), pages 53-59, March.
  3. Jose Fajardo & Sandra Blanco, 2010. "Interação Social e o Comportamento da Investidora Brasileira," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 64(3), pages 245-260, September.
  4. Fajardo, José & Lacerda, Ana, 2010. "Statistical arbitrage with default and collateral," Economics Letters, Elsevier, Elsevier, vol. 108(1), pages 81-84, July.
  5. José Fajardo, 2010. "Behavioral arbitrage with collateral and uncertain deliveries," Annals of Finance, Springer, Springer, vol. 6(2), pages 241-254, March.
  6. Fajardo, José & Farias, Aquiles, 2010. "Derivative pricing using multivariate affine generalized hyperbolic distributions," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(7), pages 1607-1617, July.
  7. Fajardo, José, 2009. "Pricing and optimality with default spreads," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 49(2), pages 686-692, May.
  8. Carmona, Guilherme & Fajardo, José, 2009. "Existence of equilibrium in common agency games with adverse selection," Games and Economic Behavior, Elsevier, Elsevier, vol. 66(2), pages 749-760, July.
  9. Fajardo, José & Farias, Aquiles, 2009. "Multivariate affine generalized hyperbolic distributions: An empirical investigation," International Review of Financial Analysis, Elsevier, Elsevier, vol. 18(4), pages 174-184, September.
  10. José Fajardo & Rafael Pereira, 2008. "Seasonal Effects on the Bovespa Index," Brazilian Business Review, Fucape Business School, Fucape Business School, vol. 5(3), pages 233-241, September.
  11. Jose Santiago Fajardo, 2007. "Equivalent Martingale Measures and Lévy Processes," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 60(4), pages 353-362, February.
  12. JosE Fajardo & Ernesto Mordecki, 2006. "Symmetry and duality in Levy markets," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 6(3), pages 219-227.
  13. José Fajardo & Ernesto Mordecki, 2006. "Pricing Derivatives On Two-Dimensional Lévy Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., World Scientific Publishing Co. Pte. Ltd., vol. 9(02), pages 185-197.
  14. Fajardo, Jose, 2005. "A note on arbitrage and exogenous collateral," Mathematical Social Sciences, Elsevier, Elsevier, vol. 50(3), pages 336-341, November.
  15. Araujo, Aloisio & Fajardo, Jose & Pascoa, Mario R., 2005. "Endogenous collateral," Journal of Mathematical Economics, Elsevier, vol. 41(4-5), pages 439-462, August.
  16. José Santiago Fajardo Barbachan, 2003. "Optimal Consumption and Investment with Lévy Processes," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 57(4), pages 825-848, October.

NEP Fields

24 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (1) 2012-04-03
  2. NEP-ECM: Econometrics (3) 2003-10-20 2003-10-20 2008-10-07
  3. NEP-ETS: Econometric Time Series (3) 2003-10-20 2003-10-20 2006-10-28
  4. NEP-FIN: Finance (12) 2003-10-20 2003-10-20 2003-10-20 2003-10-20 2003-10-20 2003-10-20 2003-11-09 2004-12-02 2005-12-09 2005-12-09 2005-12-09 2006-10-28. Author is listed
  5. NEP-FMK: Financial Markets (6) 2003-10-20 2003-10-20 2003-10-20 2003-10-20 2003-11-09 2005-12-09. Author is listed
  6. NEP-FOR: Forecasting (2) 2012-04-03 2012-06-05
  7. NEP-GTH: Game Theory (2) 2006-08-12 2006-10-28
  8. NEP-MIC: Microeconomics (3) 2004-10-30 2006-08-12 2006-10-28
  9. NEP-ORE: Operations Research (1) 2008-10-07
  10. NEP-RMG: Risk Management (6) 2003-10-20 2003-10-20 2003-10-20 2003-10-20 2003-10-20 2003-10-20. Author is listed

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