Concepedia

José E. Figueroa‐López

JE

17

Publications

504

Citations

15

H-Index

2008

Active since

Affiliations

Purdue University West Lafayette(Current)

Washington University in St. Louis

Georgia Institute of Technology

José E. Figueroa‐López is an author at Purdue University West Lafayette specializing in business, engineering, and asset pricing.

Top concepts

BusinessEngineeringAsset PricingStochastic CalculusFinanceProbabilityEconomicsOption PricingMultivariate Stochastic VolatilityStatistics

Publications per year

2008–2022

17

Publications

17

DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING

Agostino Capponi, José E. Figueroa‐López · Mathematical Finance · 2012 · 88 citations

Economics, Portfolio Optimization, Financial Economics +14

Small-time expansions for the transition distributions of Lévy processes

José E. Figueroa‐López, Christian Houdré · Stochastic Processes and their Applications · 2009 · 58 citations

Small-time Expansions, Stochastic Calculus, Levy Process +2

The Small-Maturity Smile for Exponential Lévy Models

José E. Figueroa‐López, Martin Forde · SIAM Journal on Financial Mathematics · 2012 · 55 citations

Economics, Option Pricing, Exponential Lévy Model +12

Small-time moment asymptotics for Lévy processes

José E. Figueroa‐López · Statistics & Probability Letters · 2008 · 46 citations

Levy Process, Lévy Processes, Fractional Stochastics

Optimum thresholding using mean and conditional mean squared error

José E. Figueroa‐López, Cecilia Mancini · Journal of Econometrics · 2018 · 35 citations

Uncertainty Quantification, Conditional Mean, Detection Technique +3

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