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- Jose Enrique Figueroa-Lopez
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Research Interests :
- Mathematical finance: Nonparametric calibration methods and
portfolio optimization problems in continuous-time models. Emphasis on Levy
driven and jump-diffusion models.
- Probability and Stochastic processes: Stochastic control,
stochastic analysis, and simulation.
- Statistics: Nonparametric estimation using projection estimation,
model selection, and adaptive methods.
- Information and coding theory: Concentration inequalities applied
to data compression.
Teaching:
Research:
- Some Preprints and current work:
Some interesting links:
- Maths and markets. Financial Times (03/21/2009)
writes:
"For the future we need more - and better - maths to underpin individual
banks and the enhanced regulatory regime that will oversee them. Some of
the expertise required is already out there, in universities, waiting to
be put to use."
Talks:
- Notes,
Seminar "Topics in Financial Mathematics", UCSB, Jan. 2007.
- Estimation Methods for Levy based models of asset prices, Financial
Mathematics Seminar, Statistics Department, UCSB, Oct. 2006
The content of this page and any opinions expressed
therein are solely those of Jose E. Figueroa-Lopez.
Last modified: March 2009