Brazil
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Getulio Vargas Foundation
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Fractional Brownian Motion, Derivative Pricing, Hurst exponent
Generalized Hyperbolic, Value at Risk
Contingent Convertibles, Credit Risk, Structural Approach, First Passage Times
Economic growth, inflation, industrial production.
Generalized Hyperbolic Distributions, Derivatives Pricing, Fat Tails, Fast Fourier Transformation
Hyperinflation, Investments, Household Behavior
Goodness-of-Fit, Conditional Value at Risk, Risk Management
Continget Convertible, Debt, Financial Distress, Bail-In
Value-at-Risk, Distance, Goodness-of-fit
Skewness, Lévy processes, Implied volatility smirk
Contingent convertibles, extension rsk, call date
Systemic Risk, CoCo Bonds, Crisis
Barrier contracts, Lévy processes,S ymmetry
Wellness, Depression, Social Interaction, Investments
Skewness, Lévy Processes, Implied Volatility Smirk.
Risk-Neutral Densities, Relative Risk Aversion, Currency Options
Expected Utility, Prospect Theory, Risk Aversion, Law invariant preferences, Growth Optimal Portfolio, Portfolio Numeraire
Hybrid bonds, Convertible bonds, CoCo bonds, call provision, sequential finance.
Common Agency, Menu Games, Sequential Equilibrium
Kyle Model, Market Microstructure, Equilibrium, Insider Trading, Stochastic Control, Semimartingales, Enlargement of Filtrations
Insider trading, Law Penalties, Social Welfare
Bitcoin, Cryptocurrency, Jumps, Generalized Hyperbolic Distributions
Skewness, Lévy processes, Barrier contracts, Asymmetry
Skewness, Lévy processes, Absence of symmetry, Power contracts
Default, Enforcement Mechanism, Bad Arbitrage, Uncertain deliveries
