José Fajardo

Getulio Vargas Foundation

Associate Professor

Brazil

http://www.josefajardo.com

SCHOLARLY PAPERS

24

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2,908

SSRN CITATIONS
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Top 39,531

in Total Papers Citations

4

CROSSREF CITATIONS

14

Scholarly Papers (24)

1.

Volatility Estimation and Option Pricing with Fractional Brownian Motion

Number of pages: 22 Posted: 06 Nov 2005
Daniel O. Cajueiro and José Fajardo
Universidade de Brasília (UnB) and Getulio Vargas Foundation
Downloads 442 (75,215)
Citation 1

Abstract:

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Fractional Brownian Motion, Derivative Pricing, Hurst exponent

2.

Analyzing the Use of Generalized Hyperbolic Distributions to Value at Risk Calculations

Brazilian Journal of Applied Economics, Vol. 9, No. 1, p. 25-38, 2005
Number of pages: 14 Posted: 19 Mar 2008
Getulio Vargas Foundation, Government of the Federative Republic of Brazil - Central Bank of Brazil and Banco Central do Brasil
Downloads 274 (128,655)

Abstract:

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Generalized Hyperbolic, Value at Risk

3.

Close Form Pricing Formulas for CoCa CoCos

Number of pages: 18 Posted: 25 Jan 2013
University of Barcelona, Getulio Vargas Foundation, European Commission - Joint Research Centre, KU Leuven - Department of Mathematics and University of Barcelona
Downloads 261 (135,350)
Citation 3

Abstract:

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Contingent Convertibles, Credit Risk, Structural Approach, First Passage Times

4.

Generalized Hyperbolic Distributions and Brazilian Data

Banco Central do Brasil Working Paper No. 52
Number of pages: 38 Posted: 02 Mar 2003
José Fajardo and Aquiles Farias
Getulio Vargas Foundation and Government of the Federative Republic of Brazil - Central Bank of Brazil
Downloads 204 (171,681)
Citation 4

Abstract:

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Generalized Hyperbolic Distributions, Derivatives Pricing, Fat Tails, Fast Fourier Transformation

5.

Understanding the Impact of Severe Hyperinflation Experience on Current Household Investment Behavior

Journal of Behavioral and Experimental Finance, Vol. 17, No. 1, pp. 60-67, 2018.
Number of pages: 25 Posted: 20 Jun 2013 Last Revised: 13 Dec 2020
José Fajardo and Manuela Dantas
Getulio Vargas Foundation and California State University, Northridge
Downloads 178 (194,085)

Abstract:

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Hyperinflation, Investments, Household Behavior

6.

A Goodness-of-Fit Test with Focus on Conditional Value at Risk

Brazilian Finance Review, Vol. 6, No. 2, pp. 139-155, 2008
Number of pages: 17 Posted: 04 May 2007 Last Revised: 04 Dec 2008
Getulio Vargas Foundation, Government of the Federative Republic of Brazil - Central Bank of Brazil and Banco Central do Brasil
Downloads 170 (201,929)

Abstract:

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Goodness-of-Fit, Conditional Value at Risk, Risk Management

7.

Fama-French Three Factors, Business Cycles and Inflation in Brazil

Number of pages: 18 Posted: 07 Dec 2011
José Fajardo and Marcelo Ladeira Fialho
Getulio Vargas Foundation and affiliation not provided to SSRN
Downloads 154 (219,515)
Citation 1

Abstract:

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Economic growth, inflation, industrial production.

8.

On the Propensity to Issue Contingent Convertible (CoCo) Bonds

Number of pages: 34 Posted: 19 Jan 2017 Last Revised: 07 Dec 2017
José Fajardo and Layla Mendes
Getulio Vargas Foundation and Getulio Vargas Foundation (FGV)
Downloads 152 (221,889)
Citation 2

Abstract:

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Continget Convertible, Debt, Financial Distress, Bail-In

9.

Goodness-of-Fit Tests Focus on Value-at-Risk Estimation

Brazilian Review of Econometrics, Vol. 26, No. 2, pp. 309-326, November 2006
Number of pages: 18 Posted: 19 Mar 2008
Getulio Vargas Foundation, Government of the Federative Republic of Brazil - Central Bank of Brazil and Banco Central do Brasil
Downloads 152 (221,889)

Abstract:

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Value-at-Risk, Distance, Goodness-of-fit

10.
Downloads 145 (230,506)
Citation 1

A New Factor to Explain Implied Volatility Smirk

Number of pages: 20 Posted: 31 Jan 2015 Last Revised: 28 Aug 2015
José Fajardo
Getulio Vargas Foundation
Downloads 82 (346,544)
Citation 1

Abstract:

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Skewness, Lévy processes, Implied volatility smirk

A New Factor to Explain Implied Volatility Smirk

Number of pages: 23 Posted: 01 Jun 2016
José Fajardo
Getulio Vargas Foundation
Downloads 63 (402,328)

Abstract:

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Skewness, Lévy processes, Implied volatility smirk

11.

CoCos with Extension Risk: A Structural Approach

Number of pages: 17 Posted: 20 Dec 2014
University of Barcelona, Getulio Vargas Foundation, KU Leuven - Department of Mathematics and University of Barcelona
Downloads 118 (270,299)
Citation 2

Abstract:

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Contingent convertibles, extension rsk, call date

12.

Barrier Style Contracts under Lévy Processes: An Alternative Approach

Number of pages: 29 Posted: 28 Mar 2013 Last Revised: 14 Dec 2015
José Fajardo
Getulio Vargas Foundation
Downloads 115 (275,235)

Abstract:

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Barrier contracts, Lévy processes,S ymmetry

13.

Social Interaction and Psychological Influence on Women's Financial Investments

Number of pages: 21 Posted: 25 Jan 2013 Last Revised: 08 Dec 2017
José Fajardo and Sandra Blanco
Getulio Vargas Foundation and ÓRAMA Investments
Downloads 90 (324,270)

Abstract:

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Wellness, Depression, Social Interaction, Investments

14.

Implied Volatility Smirk in Lévy Markets

Number of pages: 19 Posted: 01 Jan 2015
Universidad de la Republica, Getulio Vargas Foundation and Universidad de la Republica - Centro de Matematica
Downloads 73 (367,089)
Citation 3

Abstract:

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Skewness, Lévy Processes, Implied Volatility Smirk.

15.

Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities Using Brazilian Real Currency Options

Number of pages: 12 Posted: 21 Sep 2011
Banco Central do Brasil, Getulio Vargas Foundation and Government of the Federative Republic of Brazil - Central Bank of Brazil
Downloads 69 (378,572)
Citation 2

Abstract:

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Risk-Neutral Densities, Relative Risk Aversion, Currency Options

16.

On the Optimal Investment

Number of pages: 19 Posted: 14 Jun 2016
University of Barcelona, Getulio Vargas Foundation and University of Liverpool
Downloads 66 (387,646)

Abstract:

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Expected Utility, Prospect Theory, Risk Aversion, Law invariant preferences, Growth Optimal Portfolio, Portfolio Numeraire

17.

Existence of Equilibrium in Common Agency Games with Adverse Selection

FEUNL Working Paper Series No. 490
Number of pages: 28 Posted: 04 Aug 2006
José Fajardo and Guilherme Carmona
Getulio Vargas Foundation and New University of Lisbon
Downloads 57 (416,997)
Citation 2

Abstract:

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Common Agency, Menu Games, Sequential Equilibrium

18.

CoCo Bond and Systemic Risk

Number of pages: 35 Posted: 21 Sep 2018 Last Revised: 17 Feb 2019
José Fajardo and Layla Mendes
Getulio Vargas Foundation and Getulio Vargas Foundation (FGV)
Downloads 53 (431,221)
Citation 1

Abstract:

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Systemic Risk, CoCo Bonds, Crisis

19.

Optimal Insider Strategy with Law Penalties

Number of pages: 20 Posted: 02 Dec 2012
José Fajardo
Getulio Vargas Foundation
Downloads 35 (506,469)

Abstract:

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Insider trading, Law Penalties, Social Welfare

20.

Bitcoin’s Return Behaviour: What Do We Know So Far?

Number of pages: 8 Posted: 14 May 2019 Last Revised: 19 Jun 2019
José Fajardo
Getulio Vargas Foundation
Downloads 28 (543,448)

Abstract:

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Bitcoin, Cryptocurrency, Jumps, Generalized Hyperbolic Distributions

21.

Kyle Equilibrium Under Random Price Pressure

Number of pages: 26 Posted: 03 Sep 2018
University of Barcelona, University of Oslo - Department of Mathematics and Getulio Vargas Foundation
Downloads 27 (549,211)

Abstract:

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Kyle Model, Market Microstructure, Equilibrium, Insider Trading, Stochastic Control, Semimartingales, Enlargement of Filtrations

22.

Barrier Style Contracts under Asymmetric Lévy Processes

Number of pages: 19 Posted: 29 Aug 2015 Last Revised: 05 Sep 2015
José Fajardo
Getulio Vargas Foundation
Downloads 19 (600,479)

Abstract:

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Skewness, Lévy processes, Barrier contracts, Asymmetry

23.

Power Style Contracts Under Asymmetric Lévy Processes

Number of pages: 15 Posted: 01 Jun 2016
José Fajardo
Getulio Vargas Foundation
Downloads 13 (641,780)

Abstract:

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Skewness, Lévy processes, Absence of symmetry, Power contracts

24.

Does Additional Enforcement Mechanisms with Collateral Requirements Matter?

Number of pages: 15 Posted: 02 Dec 2012 Last Revised: 04 Sep 2015
José Fajardo
Getulio Vargas Foundation
Downloads 13 (641,780)

Abstract:

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Default, Enforcement Mechanism, Bad Arbitrage, Uncertain deliveries