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Full-Text Articles in Economic Theory
Derivative Pricing Using Multivariate Affine Generalized Hyperbolic Distributions, José Fajardo, Aquiles Farias
Derivative Pricing Using Multivariate Affine Generalized Hyperbolic Distributions, José Fajardo, Aquiles Farias
José Fajardo
In 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. We also illustrate the approach using market data from the BOVESPA (São Paulo Stock Exchange) and the exchange rate of the Brazilian Real vs. US Dollar to price some multidimensional derivatives.
Statistical Arbitrage With Default And Collateral, José Fajardo, Ana Lacerda
Statistical Arbitrage With Default And Collateral, José Fajardo, Ana Lacerda
José Fajardo
This 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 fundamental theorem of asset pricing are obtained.
Market Symmetry In Time Changed Brownian Models, José Fajardo, Ernesto Mordecki
Market Symmetry In Time Changed Brownian Models, José Fajardo, Ernesto Mordecki
José Fajardo
In this paper we examine which Brownian subordination with drift exhibits the symmetry property introduced by Fajardo and Mordecki [2006. Quantitative Finance 6, 219–227]. We find that when the subordination results in a Lévy process, a necessary and sufficient condition for the symmetry to hold is that the drift must be equal to-1/2. Also, we derive explicit conditions to test whether the NIG, CGMY and Meixner processes are symmetric or not. Finally, we perform some tests with real financial data.
Existence Of Equilibrium In General Bertrand Games, José Fajardo, Guilherme Carmona
Existence Of Equilibrium In General Bertrand Games, José Fajardo, Guilherme Carmona
José Fajardo
No abstract provided.
Goodness-Of-Fit Test Focuses On Conditional Value At Risk: An Empirical Analysis Of Exchange Rates, José Fajardo, Aquiles Farias, José Renato Ornelas
Goodness-Of-Fit Test Focuses On Conditional Value At Risk: An Empirical Analysis Of Exchange Rates, José Fajardo, Aquiles Farias, José Renato Ornelas
José Fajardo
No abstract provided.