Now showing items 1-6 of 6

    • Barrier style contracts under Lévy processes: an alternative approach 

      Fajardo, José
      2015-04
      In this paper we present new pricing formulas for some single barrier style contracts of the European type when the underlying process is driven by an important class of Levy processes, which includes the CGMY model, ...
    • Duality with time-changed Lévy processes 

      Barbachan, José Santiago Fajardo
      2005-04-14
      In this paper we study the pricing problem of derivatives written in terms of a two dimensional time{changed L¶evy processes. Then, we examine an existing relation between prices of put and call options, of both the European ...
    • A new factor to explain implied volatility smirk 

      Fajardo, José
      2017
      In this article, we find empirical evidence of a new smirk factor, obtained from the jump structure of the risk neutral distribution of the underlying Levy process. As an application we show how to price a barrier style contract.
    • As normas de observância obrigatória nas Constituições Estaduais à luz do Supremo Tribunal Federal 

      Silva, Winnie Prado da
      2012
      This paper’s goal is to verify if the Brazilian Supreme Court has a consolidated position on rules of mandatory compliance established by the Federal Constitution in State Constitutions, what are the most recurrent issues ...
    • Symmetry and Bates’ rule in Ornstein–Uhlenbeck stochastic volatility models 

      Fajardo, José
      2014
      We find necessary and sufficient conditions for the market symmetry property, introduced by Fajardo and Mordecki (Quant Finance 6(3):219–227, 2006), to hold in the Ornstein–Uhlenbeck stochastic volatility model, henceforth ...
    • Vortex pairs on surfaces 

      Koiller, Jair; Boatto, Stefanella
      2009
      A pair of infinitesimally close opposite vortices moving on a curved surface moves along a geodesic, according to a conjecture by Kimura. We outline a proof. Numerical simulations are presented for a pair of opposite ...