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Jos\'e E. Figueroa-L\'opez

Identifiers

  • name variant Jos\'e E. Figueroa-L\'opez 0.60 · backfill

Papers (18)

  1. Debiased Kernel Estimation of Spot Volatility in the Presence of Infinite Variation Jumps econ.EM · 2025 · author #2
  2. Optimum thresholding using mean and conditional mean square error q-fin.ST · 2017 · author #1
  3. Optimal placement of a small order in a diffusive limit order book q-fin.TR · 2017 · author #1
  4. Optimal Kernel Estimation of Spot Volatility of Stochastic Differential Equations math.ST · 2016 · author #1
  5. Change-point detection for L\'evy processes math.PR · 2016 · author #1
  6. Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential L\'evy models With Local Volatility q-fin.MF · 2016 · author #1
  7. Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity math.PR · 2015 · author #1
  8. Short-time asymptotics for the implied volatility skew under a stochastic volatility model with L\'evy jumps q-fin.MF · 2015 · author #1
  9. One-level limit order book models with memory and variable spread q-fin.TR · 2014 · author #2
  10. Short-time expansions for close-to-the-money options under a L\'evy jump model with stochastic volatility q-fin.PR · 2014 · author #1
  11. Third-Order Short-Time Expansions for Close-to-the-Money Option Prices under the CGMY Model q-fin.PR · 2013 · author #1
  12. High-order short-time expansions for ATM option prices of exponential L\'evy models q-fin.PR · 2012 · author #1
  13. Small-time asymptotics of stopped L\'evy bridges and simulation schemes with controlled bias math.PR · 2012 · author #1
  14. High-order short-time expansions for ATM option prices under the CGMY model q-fin.CP · 2011 · author #1
  15. Small-time expansions for local jump-diffusion models with infinite jump activity math.PR · 2011 · author #1
  16. Sieve-based confidence intervals and bands for L\'{e}vy densities math.ST · 2011 · author #1
  17. Small-time expansions for the transition distributions of L\'evy processes math.PR · 2008 · author #1
  18. Risk bounds for the non-parametric estimation of L\'{e}vy processes math.ST · 2006 · author #1

Mentions

  • 1505.04459 #1 · backfill · confidence 0.70 Jos\'e E. Figueroa-L\'opez
  • 1502.02595 #1 · backfill · confidence 0.70 Jos\'e E. Figueroa-L\'opez
  • 1407.5684 #2 · backfill · confidence 0.70 Jos\'e E. Figueroa-L\'opez
  • 1404.0601 #1 · backfill · confidence 0.70 Jos\'e E. Figueroa-L\'opez
  • 1305.4719 #1 · backfill · confidence 0.70 Jos\'e E. Figueroa-L\'opez
  • 1208.5520 #1 · backfill · confidence 0.70 Jos\'e E. Figueroa-L\'opez
  • 1203.2355 #1 · backfill · confidence 0.70 Jos\'e E. Figueroa-L\'opez
  • 1112.3111 #1 · backfill · confidence 0.70 Jos\'e E. Figueroa-L\'opez
  • 1108.3386 #1 · backfill · confidence 0.70 Jos\'e E. Figueroa-L\'opez
  • 1104.4389 #1 · backfill · confidence 0.70 Jos\'e E. Figueroa-L\'opez
  • 0809.0849 #1 · backfill · confidence 0.70 Jos\'e E. Figueroa-L\'opez

Frequent Coauthors