Jaime A. Londoño

Jaime A. Londoño
National University of Colombia | UNAL · Departamento de Matemáticas y Estadística (Manizales)

PhD

About

25
Publications
1,967
Reads
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57
Citations
Additional affiliations
January 2015 - April 2016
National University of Colombia
Position
  • Professor (Associate)
June 2011 - January 2015
National University of Colombia
Position
  • Professor (Associate)
January 2009 - June 2011
National University of Colombia
Position
  • Professor (Associate)
Education
January 1994 - January 1998
University of California, Riverside
Field of study
  • Mathematics
September 1992 - January 1994
University of California, Riverside
Field of study
  • Mathematics
August 1987 - May 1992
Los Andes University (Colombia)
Field of study
  • Mathematics

Publications

Publications (25)
Article
We consider the problem of an individual who has to make decisions (under uncertainty) about optimal consumption, investment, and life insurance purchase in a financial market with a finite number of securities; the role of the life insurance is to protect the individual's family of an eventually early death. We propose facing the problem of optima...
Article
We define an intertemporal equilibrium where agents optimize a functional of utility on consumption and final wealth on nominal terms as proposed by [J. A. London͂o, J. Appl. Probab., 46 (2009), pp. 55--70]. The equilibrium obtained is a Duesenberry Equilibrium in the sense that at the optimal choices, heterogeneous agents have utility values for c...
Article
Full-text available
Utilizamos un modelo de simulación para analizar el nivel de inequidad del Régimen de Prima Media (RPM) Colombiano usando un enfoque de valor presente de aportes y beneficios. También proponemos un sistema pensional alternativo basado en el principio de ``contribución compartida''. Consecuencias de este nuevo sistema son aumentos en la proporción d...
Article
Full-text available
For a Polish Sample Space with a Borel $\sigma$-field with a surjective measurable transformation, we define an equivalence relation on sample points according to their ergodic limiting averages. We show that this equivalence relation partitions the subset of sample points on measurable invariant subsets, where each limiting distribution is the uni...
Book
Developed from the Second International Congress on Actuarial Science and Quantitative Finance, this volume showcases the latest progress in all theoretical and empirical aspects of actuarial science and quantitative finance. Held at the Universidad de Cartagena in Cartegena, Colombia in June 2016, the conference emphasized relations between indust...
Research
Full-text available
Un sistema pensional de contribución compartida, en el que el Estado subsidie aportes en cuentas de individuos elegibles, aumentaría la cobertura y disminuiría las inequidades del sistema.
Working Paper
Full-text available
Technical Report
Full-text available
En este informe presentamos resultados de un proyecto de investigación, ``Propuesta para el diseño de sistemas alternativos de cotización, permanencia y cobertura del régimen pensional en Colombia'' código 31891 de la convocatoria de proyectos de importancia Institucional de la Vicerrectoría de Investigación de la Universidad Nacional de Colombia....
Article
Full-text available
A Wong-Zakai type numerical method for the strong solution of stochastic differential equa-tions is introduced and developed. The main feature of the method is that it takes advantage of the well developed techniques for solution of ordinary differential equations. Focus is given to the evaluation of the numerical performance of the method.
Article
Full-text available
We propose a family of models for the evolution of the price process S(t) of a financial market. We prove that this family of models is well defined in the sense that the SDEs that define each model have unique non-explosive solutions ; we prove that each model from this family is free of arbitrage opportunities and it is (state) complete. We calib...
Working Paper
Full-text available
We define an inter-temporal Duesemberry Equilibrium where agents are rational agents that optimize their consumption and investment decisions with respect to the relative incomes of their peers (relative income hypothesis). We characterize these markets, provide existence and unique-ness when a sufficient weak condition is met, and develop some sim...
Book
Featuring contributions from industry and academia, this volume includes chapters covering a diverse range of theoretical and empirical aspects of actuarial science and quantitative finance, including portfolio management, derivative valuation, risk theory and the economics of insurance. Developed from the First International Congress on Actuarial...
Article
We extend results given in J. A. Londoño, A sensitive Inter-temporal Equilibrium for Relative Well-Being, working paper (2013), characterizing inter-temporal equilibrium, when are assumed incomplete markets, markets with arbitrage opportunities and when heterogeneous agents maximize a state dependent utility functional, as proposed in J. A. Londoño...
Article
Full-text available
The problem of optimal consumption and investment for an agent that does not influence the market is solved. The optimization criteria are based on a state-dependent utility functional as proposed in Londoño (2009). The proposed solution is given in any market without state-tame arbitrage opportunities, includes several utilities structures, and in...
Article
Full-text available
A new theory of inter-temporal equilibrium for security markets in a continuous time setting with Brownian Filtrations for complete and incomplete markets is developed. A simple characterization of equilibrium when agents maximize a state dependent utility functional, as proposed in Londoño, J.A. State Dependent Utility, J. Appl. Prob. 46(1):55-70,...
Article
Full-text available
We propose a new approach to utilities in (state) complete markets that is consistent with state-dependent utilities. Full solutions of the optimal consumption and portfolio problem are obtained in a very general setting which includes several functional forms for utilities used in the current literature, and consider general restrictions on allowa...
Article
Full-text available
We specialize the results on characterization of arbitrage and valuation of European and American Contingent claims obtained in Londoño [7] for a model that is computational friendly, and include those whose price processes are of Itô type with coefficients that are only Hölder continuous. A unified framework for valuation of financial instruments...
Article
Full-text available
We propose a new approach to utilities that is consistent with state-dependent utilities. In our model utilities reflect the level of consumption satisfaction of flows of cash in future times as they are valued when the economic agents are making their consumption and investment decisions. The theoretical framework used for the model is one propose...
Article
Full-text available
We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen stock market indices (eight from developed and eight from emerging markets) prior to and during the 2008 fi...
Article
Full-text available
We propose a new definition for tameness within the model of security prices as It\^o processes that is risk-aware. We give a new definition for arbitrage and characterize it. We then prove a theorem that can be seen as an extension of the second fundamental theorem of asset pricing, and a theorem for valuation of contingent claims of the American...
Article
Full-text available
This paper introduces a family of recursively defined estimators of the parameters of a diffusion process. We use ideas of stochastic algorithms for the construction of the estimators. Asymptotic consistency of these estimators and asymptotic normality of an appropriate normalization are proved. The results are applied to two examples from the fina...
Article
Full-text available
We propose a new definition for tameness within the model of security prices as It\^o processes that is risk-aware. We give a new definition for arbitrage and characterize it. We then prove a theorem that can be seen as an extension of the second fundamental theorem of asset pricing, and a theorem for valuation of contingent claims of the American...

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Projects

Projects (2)
Project
-Study extensions and consequences of an inter-temporal equilibrium model proposed by the author.
Project
``Propuesta para el diseño de sistemas alternativos de cotización, permanencia y cobertura del régimen pensional en Colombia'' código 31891 de la convocatoria de proyectos de importancia Institucional de la Vicerrectoría de Investigación de la Universidad Nacional de Colombia.