The following pages link to José E. Figueroa-López (Q261926):
Displaying 35 items.
- Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility (Q261928) (← links)
- Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps (Q331361) (← links)
- Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias (Q395995) (← links)
- Small-time expansions for local jump-diffusion models with infinite jump activity (Q395997) (← links)
- Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps (Q424503) (← links)
- Sieve-based confidence intervals and bands for Lévy densities (Q453294) (← links)
- Statistical estimation of Lévy-type stochastic volatility models (Q470521) (← links)
- Approximations for the distributions of bounded variation Lévy processes (Q613155) (← links)
- Dynamic credit investment in partially observed markets (Q889624) (← links)
- Small-time moment asymptotics for Lévy processes (Q958971) (← links)
- Optimal portfolios in Lévy markets under state-dependent bounded utility functions (Q965867) (← links)
- Small-time expansions for the transition distributions of Lévy processes (Q1041053) (← links)
- Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity (Q1630666) (← links)
- Change-point detection for Lévy processes (Q1737954) (← links)
- Optimum thresholding using mean and conditional mean squared error (Q1739640) (← links)
- Optimal iterative threshold-kernel estimation of jump diffusion processes (Q2023467) (← links)
- Estimation of tempered stable Lévy models of infinite variation (Q2152238) (← links)
- Optimal kernel estimation of spot volatility of stochastic differential equations (Q2186644) (← links)
- Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise (Q2219235) (← links)
- Second-order properties of thresholded realized power variations of FJA additive processes (Q2330961) (← links)
- A one-level limit order book model with memory and variable spread (Q2360238) (← links)
- Estimation of a noisy subordinated Brownian motion via two-scales power variations (Q2408746) (← links)
- Optimally thresholded realized power variations for Lévy jump diffusion models (Q2447648) (← links)
- (Q2845921) (← links)
- Central Limit Theorems for the Non-Parametric Estimation of Time-Changed Lévy Models (Q2911696) (← links)
- Jump-Diffusion Models Driven by Lévy Processes (Q3112454) (← links)
- Nonparametric estimation of time-changed Lévy models under high-frequency data (Q3558943) (← links)
- Risk bounds for the non-parametric estimation of Lévy processes (Q3592310) (← links)
- Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility (Q4635252) (← links)
- (Q4779045) (← links)
- The Small-Maturity Smile for Exponential Lévy Models (Q4902204) (← links)
- Third-order short-time expansions for close-to-the-money option prices under the CGMY model (Q5373916) (← links)
- DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING (Q5416702) (← links)
- PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIME‐SWITCHING MARKETS (Q5416703) (← links)
- HIGH‐ORDER SHORT‐TIME EXPANSIONS FOR ATM OPTION PRICES OF EXPONENTIAL LÉVY MODELS (Q5739188) (← links)
