Browsing by Author "Barbachan, José Santiago Fajardo"

Now showing items 1-6 of 6

    • 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 ...

    • Endogenous collateral 

      Pascoa, Mario Rui; Araújo, Aloísio Pessoa de; Barbachan, José Santiago Fajardo
      2003-11-04
      We study an economy where there are two types of assets. Consumers’ promises are the primitive defaultable assets secured by collateral chosen by the consumers themselves. The purchase of these personalized assets by ...

    • Endogenous collateral: arbitrage and equilibrium without bounded short sales 

      Pascoa, Mario Rui; Araújo, Aloísio Pessoa de; Barbachan, José Santiago Fajardo
      2001-05-01
      We study the implications of the absence of arbitrage in an two period economy where default is allowed and assets are secured by collateral choosen by the borrowers. We show that non arbitrage sale prices of assets are ...

    • Estimating relative risk aversion, risk-neutral and real-world densities using brazilian real currency options 

      Ornelas, José Renato Haas; Barbachan, José Santiago Fajardo; Farias, Aquiles Rocha de
      2012-04-12
      Building Risk-Neutral Densities (RND) from options data can provide market-implied expectations about the future behavior of a financial variable. And market expectations on financial variables may influence macroeconomic ...

    • Implied volatility smirk in Lévy markets 

      Barbachan, José Santiago Fajardo
      2016
      We introduce skewed L evy models, characterized by a symmetric jump measure multiplied by dumping exponential factor. This models exhibit a clear implied volatility pattern, where the dumping parameter controls the skew ...

    • Processo de Meixner: teoria e aplicações no mercado financeiro brasileiro 

      Barbachan, José Santiago Fajardo; Coutinho, Felipe Gomes Pereira
      2011-06-01
      Well-known models that are extensively used by market traders, such as the Black-Scholes model, assume that the daily log-returns of assets follow a Normal distribution. Empirical evidences, however, show that return rates ...