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Information about:
José Santiago Fajardo

Personal Details | Affiliation | Works
This is information that was supplied by José Fajardo in registering through RePEc. If you are José Santiago Fajardo , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Other registered authors

Personal Details

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

RePEc Short-ID: pfa47

Email:
Homepage: http://professores.ibmecrj.br/pepe
Postal Address: Av. Rio Branco 108, 907 Centro Rio de Janeiro - RJ 20040-001 Brazil
Phone: 55 21 9136 8356

Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML, plain text, BibTeX, RIS (EndNote), ReDIF

Working papers

  1. 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. [Downloadable!]
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  2. José Fajardo & Ernesto Mordecki, 2006. "Skewness Premium with Lévy Processes," IBMEC RJ Economics Discussion Papers 2006-04, Economics Research Group, IBMEC Business School - Rio de Janeiro. [Downloadable!]

  3. José Fajardo & Ernesto Mordecki, 2005. "Duality and Derivative Pricing with Time-Changed Lévy Processes," IBMEC RJ Economics Discussion Papers 2005-12, Economics Research Group, IBMEC Business School - Rio de Janeiro. [Downloadable!]

  4. Fajardo, J. & Mordeckiz, E., 2004. "Duality and Derivative Pricing with Lévy Processes," Finance Lab Working Papers flwp_71, Finance Lab, Ibmec São Paulo. [Downloadable!]
    Other versions:

  5. Fajardo, J., 2004. "Equivalent Martingale Measures and Lévy Processes," Finance Lab Working Papers flwp_61, Finance Lab, Ibmec São Paulo. [Downloadable!]
    Other versions:
    Published as:

  6. Araújo, E. & Fajardo, J. & Tavani, L., 2004. "CAPM Usando uma Carteira Sintética do PIB Brasileiro," Finance Lab Working Papers flwp_63, Finance Lab, Ibmec São Paulo. [Downloadable!]

  7. Mário Páscoa & Aloisio Araujo & José Fajardo, 2004. "Endogenous Collateral," Econometric Society 2004 Latin American Meetings 161, Econometric Society. [Downloadable!]
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    Published as:

  8. 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 flwp_70, Finance Lab, Ibmec São Paulo. [Downloadable!]

  9. Azevedo H. & Fajardo, J., 2004. "Apreçamento de Derivativos Bidimensionais," Finance Lab Working Papers flwp_64, Finance Lab, Ibmec São Paulo. [Downloadable!]

  10. Fajardo, J. & Fonseca, M., 2004. "Concentração Bancária Brasileira: Uma Análise Microeconômica," Finance Lab Working Papers flwp_60, Finance Lab, Ibmec São Paulo. [Downloadable!]

  11. Fajardo, J., 2004. "Arbitrage, Collateral and Utility Penalties," Finance Lab Working Papers flwp_69, Finance Lab, Ibmec São Paulo. [Downloadable!]

  12. Fajardo, J., 2004. "A Note On Arbitrage and Exogenus Collateral," Finance Lab Working Papers flwp_62, Finance Lab, Ibmec São Paulo. [Downloadable!]
    Published as:

  13. Araujo, A. & Fajardo, J & Páscoa, M. R., 2003. "Endogenous Collateral: Arbitrage and Equilibrium without Bounded Short Sales," Finance Lab Working Papers flwp_52, Finance Lab, Ibmec São Paulo. [Downloadable!]
    Other versions:

  14. Fajardo, J. & Mordeckiy, E., 2003. "Pricing Derivatives on Two Lévy-driven Stocks," Finance Lab Working Papers flwp_56, Finance Lab, Ibmec São Paulo. [Downloadable!]
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  15. Fajardo, J. & Farias, A., 2003. "Generalized Hyperbolic Distributions and Brazilian Data," Finance Lab Working Papers flwp_57, Finance Lab, Ibmec São Paulo. [Downloadable!]
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  16. Fajardo, J. & Cajueiro, D. O., 2003. "Volatility Estimation and Option Pricing with Fractional Brownian Motion," Finance Lab Working Papers flwp_53, Finance Lab, Ibmec São Paulo. [Downloadable!]

  17. Fajardo, J. & Mordecki, E., 2003. "Put-Call Duality and Symmetry," Finance Lab Working Papers flwp_54, Finance Lab, Ibmec São Paulo. [Downloadable!]

  18. Fajardo, J. & Farias, A. R & Ornelas, J. R. H, 2003. "Goodness-of-fit Tests focus on VaR Estimation," Finance Lab Working Papers flwp_55, Finance Lab, Ibmec São Paulo. [Downloadable!]

  19. 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 flwp_58, Finance Lab, Ibmec São Paulo. [Downloadable!]

  20. Jose Fajardo Barbachan, 2000. "Optimal Consumption and Investment with Levy Processes," Econometric Society World Congress 2000 Contributed Papers 1146, Econometric Society. [Downloadable!]
    Published as:

Articles

  1. Jose Santiago Fajardo, 2006. "Equivalent Martingale Measures and Lévy Processes," Revista Brasileira de Economia, Graduate School of Economics, Getulio Vargas Foundation (Brazil), vol. 60(4), December. [Downloadable!]
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  2. JosÉ Fajardo & Ernesto Mordecki, 2006. "Symmetry and duality in Lévy markets," Quantitative Finance, Taylor and Francis Journals, vol. 6(3), pages 219-227, June. [Downloadable!] (restricted)

  3. Araujo, Aloisio & Fajardo, Jose & Pascoa, Mario R., 2005. "Endogenous collateral," Journal of Mathematical Economics, Elsevier, vol. 41(4-5), pages 439-462, August. [Downloadable!] (restricted)
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  4. Fajardo, Jose, 2005. "A note on arbitrage and exogenous collateral," Mathematical Social Sciences, Elsevier, vol. 50(3), pages 336-341, November. [Downloadable!] (restricted)
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  5. José Santiago Fajardo Barbachan, 2003. "Optimal Consumption and Investment with Lévy Processes," Revista Brasileira de Economia, Graduate School of Economics, Getulio Vargas Foundation (Brazil), vol. 57(4), April. [Downloadable!]
    Other versions:

NEP Fields

18 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (2) 2003-10-20 2003-10-20
  2. NEP-ETS: Econometric Time Series (3) 2003-10-20 2003-10-20 2006-10-28
  3. 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
  4. 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
  5. NEP-GTH: Game Theory (2) 2006-08-12 2006-10-28
  6. NEP-MIC: Microeconomics (3) 2004-10-30 2006-08-12 2006-10-28
  7. 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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This page was last updated on 2008-8-25.

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