José Fajardo

Getulio Vargas Foundation

Associate Professor

Brazil

http://www.josefajardo.com

SCHOLARLY PAPERS

24

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CITATIONS
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9

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 417 (63,990)

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 259 (109,463)
Citation 2

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 241 (117,876)
Citation 1

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 192 (146,764)
Citation 4

Abstract:

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

5.

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 167 (166,245)

Abstract:

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

6.

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

Number of pages: 25 Posted: 20 Jun 2013 Last Revised: 13 Dec 2017
José Fajardo and Manuela Dantas
Getulio Vargas Foundation and Cornell University
Downloads 161 (171,599)

Abstract:

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Hyperinflation, Investments, Household Behavior

7.

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 149 (183,142)

Abstract:

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

8.

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 139 (193,767)

Abstract:

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Economic growth, inflation, industrial production.

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 78 (292,127)

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 60 (337,982)

Abstract:

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Skewness, Lévy processes, Implied volatility smirk

10.

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 110 (231,654)

Abstract:

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Continget Convertible, Debt, Financial Distress, Bail-In

11.

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 110 (231,654)

Abstract:

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Barrier contracts, Lévy processes,S ymmetry

12.

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 100 (247,627)

Abstract:

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Contingent convertibles, extension rsk, call date

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 76 (293,751)

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 64 (322,704)

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 62 (327,965)

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 55 (347,688)

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 54 (350,720)
Citation 2

Abstract:

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Common Agency, Menu Games, Sequential Equilibrium

18.

Optimal Insider Strategy with Law Penalties

Number of pages: 20 Posted: 02 Dec 2012
José Fajardo
Getulio Vargas Foundation
Downloads 34 (420,365)

Abstract:

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Insider trading, Law Penalties, Social Welfare

19.

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 15 (516,153)

Abstract:

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Skewness, Lévy processes, Barrier contracts, Asymmetry

20.

CoCo Bond and Systemic Risk

Number of pages: 20 Posted: 21 Sep 2018
José Fajardo and Layla Mendes
Getulio Vargas Foundation and Getulio Vargas Foundation (FGV)
Downloads 14 (521,736)

Abstract:

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Systemic Risk, CoCo Bonds, Crisis

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 13 (527,309)

Abstract:

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

22.

High-Crime Environment and Individual Portfolio Choice

Number of pages: 18 Posted: 27 Jun 2018
José Fajardo and Manuela Dantas
Getulio Vargas Foundation and Cornell University
Downloads 13 (527,309)

Abstract:

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crime, individual investment, portfolio choice

23.

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 11 (538,458)

Abstract:

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Default, Enforcement Mechanism, Bad Arbitrage, Uncertain deliveries

24.

Power Style Contracts Under Asymmetric Lévy Processes

Number of pages: 15 Posted: 01 Jun 2016
José Fajardo
Getulio Vargas Foundation
Downloads 8 (554,734)

Abstract:

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Skewness, Lévy processes, Absence of symmetry, Power contracts