José E. Figueroa-López

Available identifiers

zbMath Open figueroa-lopez.jose-eMaRDI QIDQ261926

List of research outcomes

Publication	Date of Publication	Type
Estimation of tempered stable Lévy models of infinite variation	2022-07-07	Paper
Optimal iterative threshold-kernel estimation of jump diffusion processes	2021-05-03	Paper
Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise	2021-01-19	Paper
Optimal kernel estimation of spot volatility of stochastic differential equations	2020-06-09	Paper
Kernel Estimation of Spot Volatility with Microstructure Noise Using Pre-Averaging	2020-04-04	Paper
Second-order properties of thresholded realized power variations of FJA additive processes	2019-10-23	Paper
Optimum thresholding using mean and conditional mean squared error	2019-04-26	Paper
Change-point detection for Lévy processes	2019-04-24	Paper
Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity	2018-12-10	Paper
Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility	2018-04-16	Paper
Third-order short-time expansions for close-to-the-money option prices under the CGMY model	2018-04-06	Paper
Estimation of a noisy subordinated Brownian motion via two-scales power variations	2017-10-13	Paper
A one-level limit order book model with memory and variable spread	2017-06-30	Paper
Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps	2016-10-27	Paper
HIGH‐ORDER SHORT‐TIME EXPANSIONS FOR ATM OPTION PRICES OF EXPONENTIAL LÉVY MODELS	2016-07-15	Paper
Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility	2016-03-29	Paper
Dynamic credit investment in partially observed markets	2015-11-09	Paper
Statistical estimation of Lévy-type stochastic volatility models	2014-11-12	Paper
Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias	2014-08-08	Paper
Small-time expansions for local jump-diffusion models with infinite jump activity	2014-08-08	Paper
DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING	2014-05-14	Paper
PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIME‐SWITCHING MARKETS	2014-05-14	Paper
Optimally thresholded realized power variations for Lévy jump diffusion models	2014-04-28	Paper
https://portal.mardi4nfdi.de/entity/Q2845921	2013-09-03	Paper
The Small-Maturity Smile for Exponential Lévy Models	2013-01-25	Paper
Sieve-based confidence intervals and bands for Lévy densities	2012-09-19	Paper
Central Limit Theorems for the Non-Parametric Estimation of Time-Changed Lévy Models	2012-09-01	Paper
Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps	2012-06-01	Paper
Jump-Diffusion Models Driven by Lévy Processes	2012-01-10	Paper
High-order short-time expansions for ATM option prices under the CGMY model	2011-12-13	Paper
Approximations for the distributions of bounded variation Lévy processes	2010-12-20	Paper
Nonparametric estimation of time-changed Lévy models under high-frequency data	2010-05-11	Paper
Optimal portfolios in Lévy markets under state-dependent bounded utility functions	2010-04-26	Paper
Small-time expansions for the transition distributions of Lévy processes	2009-11-27	Paper
Small-time moment asymptotics for Lévy processes	2008-12-10	Paper
Risk bounds for the non-parametric estimation of Lévy processes	2007-09-12	Paper
https://portal.mardi4nfdi.de/entity/Q4779045	2002-11-24	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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