Research by José Fajardo
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 , 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.
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
Kyle equilibrium under random price
pressure., with José Manuel Corcuera and Julia Di Nunno .
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