José Fajardo

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
On the propensity to issue contingent convertible (CoCo) bonds Quantitative Finance	2021-06-02	Paper
Kyle equilibrium under random price pressure Decisions in Economics and Finance	2019-10-23	Paper
Barrier style contracts under Lévy processes once again Annals of Finance	2018-04-20	Paper
SKEWED LÉVY MODELS AND IMPLIED VOLATILITY SKEW International Journal of Theoretical and Applied Finance	2018-04-11	Paper
On the optimal investment Springer Proceedings in Mathematics & Statistics	2017-07-31	Paper
CoCos with extension risk. A structural approach The Fascination of Probability, Statistics and their Applications	2017-01-16	Paper
Symmetry and Bates' rule in Ornstein-Uhlenbeck stochastic volatility models Decisions in Economics and Finance	2015-05-04	Paper
Skewness premium with Lévy processes Quantitative Finance	2015-04-16	Paper
Barrier Options under L\'evy Processes: a Simple Short-Cut	2013-03-25	Paper
Behavioral arbitrage with collateral and uncertain deliveries Annals of Finance	2012-03-08	Paper
Statistical arbitrage with default and collateral Economics Letters	2010-09-07	Paper
Existence of equilibrium in common agency games with adverse selection Games and Economic Behavior	2009-07-15	Paper
Symmetry and Time Changed Brownian Motions	2008-10-23	Paper
A Note on Pricing, Duality and Symmetry for Two-Dimensional Lévy Markets From Stochastic Calculus to Mathematical Finance	2006-10-23	Paper
Symmetry and duality in Lévy markets Quantitative Finance	2006-08-21	Paper
PRICING DERIVATIVES ON TWO-DIMENSIONAL LÉVY PROCESSES International Journal of Theoretical and Applied Finance	2006-05-10	Paper
A note on arbitrage and exogenous collateral Mathematical Social Sciences	2005-10-27	Paper
Endogenous collateral Journal of Mathematical Economics	2005-09-02	Paper

Research outcomes over time

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