Listagem por autor "Fajardo, José"
Itens para a visualização no momento 1-13 of 13
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Barrier style contracts under Lévy processes once again
2018In this paper we present new pricing formulas for some Barrier style contracts of European type when the underlying process is driven by an important class of Lévy processes, which includes CGMY model, generalized hyperbolic ... -
Barrier style contracts under Lévy processes: an alternative approach
2015-04In 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, ... -
Close form pricing formulas for Coupon Cancellable CoCos
2014-05Contingent Convertibles ('CoCos') are contingent capital instruments which convert into shares, or have a principal write down, if a trigger event takes place. CoCos exhibit the undesirable so-called death-spiral effect: ... -
Derivative pricing using multivariate affine generalized hyperbolic distributions
2010-07In this paper we use multivariate affine generalized hyperbolic (MAGH) distributions, introduced by Schmidt et al. (2006), to show how to price multidimensional derivatives when the underlying asset follows a MAGH distribution. ... -
Estimating risk aversion, risk-neutral and real-world densities using brazilian real currency options
2012This paper uses the Liu et al. (2007) approach to estimate the optionimplied Risk-Neutral Densities (RND), real-world density (RWD), and relative risk aversion from the Brazilian Real/US Dollar exchange rate distribution. ... -
Interação social e o comportamento da investidora brasileira
2010-09-01In the present paper we analyze the characteristics of women that invest in the Brazilian capital market, directly or indirectly, through stock funds. Our goal is to verify if, in addition to the usual factors like age, ... -
A new factor to explain implied volatility smirk
2017In 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. -
Optimal insider strategy with law penalties
2016We study the optimal continuous trading strategy of an insider who is subject to the possibility of law penalties due to her illegal trading activity. Also, we discuss how to obtain the optimal penalty rule in order to ... -
Skewed Lévy models and implied volatility skew
2018We introduce skewed Lévy models, characterized by a symmetric jump measure multiplied by a damping exponential factor. These models exhibit a clear implied volatility pattern, where the damping parameter controls the implied ... -
Skewness premium with Lévy processes
2014-09We study the skewness premium (SK) introduced by Bates [J. Finance, 1991, 46(3), 1009-1044] in a general context using Levy processes. Under a symmetry condition, Fajardo and Mordecki [Quant. Finance, 2006, 6(3), 219-227] ... -
Statistical arbitrage with default and collateral
2010-07This paper studies the implications of the absence of statistical arbitrage opportunities in a two-period incomplete market economy where default is allowed but there are collateral requirements. Modified versions of the ... -
Symmetry and Bates’ rule in Ornstein–Uhlenbeck stochastic volatility models
2014We 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 ... -
Understanding the impact of severe hyperinflation experience on current household investment behavior
2018We propose that a hyperinflation event has a long-lasting effect on household investment behavior. We want to investigate whether future stock market participation can be influenced by a single extreme macroeconomic ...
