← All authors José E. Figueroa-López Washington University in St. Louis (from arXiv:2311.00905, 2023) · ORCID · OpenAlex
36 papers in scope · 35 published · 8 on the econ.EM arXiv · 546 citations · h-index 15 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Qiang Liu Jincheng Pang Bei Wu Bei Wu Zhi Liu Ruoting Gong Yuchen Han Qi Wang Todd A. Kuffner Zhou Wang Ruijun Bu Hanchao Wang Carsten Chong Viktor Todorov Haoxuan Zhang Degui Li Oliver Linton Giacomo Toscano Yiyao Luo Maria Elvira Mancino Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (8 of 36)
published 2025 · Bernoulli · first circulated 2023
published 2025 · Econometric Theory · first circulated 2024
Adaptive Optimal Market Making Strategies with Inventory Liquidation Cost
published 2024 · SIAM Journal on Financial Mathematics · 2 citations
with Jonathan A. Chávez-Casillas, Chu-Yi Yu, Yi Zhang
published 2024 · Stochastic Processes and their Applications · 2 citations · first circulated 2022
published 2022 · Econometric Theory · 18 citations · first circulated 2020
published 2022 · Methodology And Computing In Applied Probability · 4 citations · first circulated 2021
working paper 2022 · arXiv
published 2021 · Electronic Journal of Statistics · first circulated 2019
published 2020 · Statistical Inference for Stochastic Processes · 1 citations · first circulated 2018
Optimal kernel estimation of spot volatility of stochastic differential equations
published 2020 · Stochastic Processes and their Applications · 1 citations · first circulated 2016
with Cheng Li
Second-order properties of thresholded realized power variations of FJA additive processes
published 2019 · Statistical Inference for Stochastic Processes · 4 citations
Change-point detection for Lévy processes
published 2019 · The Annals of Applied Probability
with Sveinn Ólafsson
Optimum thresholding using mean and conditional mean squared error
published 2018 · Journal of Econometrics · 36 citations · first circulated 2017
with Cecilia Mancini
Small-time expansions for state-dependent local jump–diffusion models with infinite jump activity
published 2018 · Stochastic Processes and their Applications · 3 citations · first circulated 2015
with Yankeng Luo
Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility
published 2018 · SIAM Journal on Financial Mathematics · first circulated 2016
Third-order short-time expansions for close-to-the-money option prices under the CGMY model
published 2017 · Applied Mathematical Finance · 4 citations · first circulated 2013
Estimation of a noisy subordinated Brownian motion via two-scales power variations
published 2017 · Journal of Statistical Planning and Inference · 3 citations
with Kiseop Lee, K. Lee
A one-level limit order book model with memory and variable spread
published 2016 · Stochastic Processes and their Applications · 14 citations · first circulated 2014
with Jonathan A. Chávez-Casillas
Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps
published 2016 · Finance and Stochastics · 21 citations · first circulated 2015
with Sveinn Ólafsson
Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility
published 2015 · Finance and Stochastics · 18 citations · first circulated 2014
with Sveinn Ólafsson, S. Ólafsson
Dynamic credit investment in partially observed markets
published 2015 · Finance and Stochastics · 19 citations · first circulated 2013
Small-time expansions for local jump-diffusion models with infinite jump activity
published 2014 · Bernoulli · 5 citations
with Yankeng Luo, Cheng Ouyang
HIGH‐ORDER SHORT‐TIME EXPANSIONS FOR ATM OPTION PRICES OF EXPONENTIAL LÉVY MODELS
published 2014 · Mathematical Finance · 19 citations · first circulated 2012
Nonparametric regression with rescaled time series errors
published 2013 · Journal of Time Series Analysis · 5 citations
with Michael Levine
Optimally thresholded realized power variations for Lévy jump diffusion models
published 2013 · Stochastic Processes and their Applications · 18 citations
DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING
published 2012 · Mathematical Finance · 89 citations · first circulated 2011
PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIME‐SWITCHING MARKETS
published 2012 · Mathematical Finance · 16 citations · first circulated 2011
Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps
published 2012 · Stochastic Processes and their Applications · 22 citations · first circulated 2010
The Small-Maturity Smile for Exponential Lévy Models
published 2012 · SIAM Journal on Financial Mathematics · 55 citations · first circulated 2011
with Martin Forde
Central Limit Theorems for the Non‐Parametric Estimation of Time‐Changed Lévy Models
published 2011 · Scandinavian Journal of Statistics · 9 citations
Approximations for the distributions of bounded variation Lévy processes
published 2010 · Statistics & Probability Letters · 2 citations
Statistical estimation of Lévy-type stochastic volatility models
published 2010 · Annals of Finance · 16 citations
Optimal Portfolios in Lévy Markets under State‐Dependent Bounded Utility Functions
published 2010 · International Journal of Stochastic Analysis
with Jin Ma
Nonparametric estimation of time-changed Lévy models under high-frequency data
published 2009 · Advances in Applied Probability · 29 citations
Small-time expansions for the transition distributions of Lévy processes
published 2009 · Stochastic Processes and their Applications · 60 citations · first circulated 2008
with Christian Houdré
Small-time moment asymptotics for Lévy processes
published 2008 · Statistics & Probability Letters · 51 citations
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
Built from arXiv and OpenAlex. Supported by UKRI grant APP47921 (Martin Weidner, UCL · Francis J. DiTraglia, Oxford).