José Enrique Figueroa-López Assistant Professor of Statistics Purdue University West Lafayette, IN 47907 Office: Math 543. Phone: (765) 494 6036 E-mail: figueroa@stat.purdue.edu

Research Interests :

• Mathematical finance: Nonparametric calibration methods and portfolio optimization problems in continuous-time models. Emphasis on Lévy 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:

• Fall 2008: MATH 516/STAT 541. Advanced Probability and Options, with numerical methods.

Research:

• Articles:
  • Small-time moment asymptotics for Lévy processes. Statistics and Probability Letters. In press. DOI:10.1016/j.spl.2008.07.012.
  • Nonparametric estimation for Lévy models based on discrete-sampling. Accepted to appear in the IMS Volume for the 3rd Erich L. Lehmann Symposium.
  • Risk bounds for the non-parametric estimation of Lévy processes (with C. Houdré). In: High Dimensional Probability IV. IMS Lecture Notes (editors: E. Gine, V. Kolchinskii, W. Li, J. Zinn), 2006.
  • On the asymptotic redundancy of lossless block coding with two codeword lengths (with C. Houdré). In IEEE Transactions on Information Theory, 688-692, Vol. 51, 2005.
  • Robust Quadrature Filters (with J.L. Marroqui and M. Servin) Journal of the Optical Society of America, A 14, 779-791, 1997.

• Some Preprints and current work:
  • Small-time expansions for the transition distribution of Lévy processes (with C. Houdré). This version: August 2008. Under revision.
  • State-dependent utility maximization in Lévy markets (with J. Ma). This version: January 2008. Under revision.

• Other manuscripts:
  • A selected survey of portfolio optimization problems, July 2005.
  • An overview of a nonparametric estimation method for Lévy processes (with C. Houdre). This version: Oct 2005.

Curriculum Vitae

Talks:

• Modeling and estimating the dynamics of asset prices. VIGRE Seminar, Purdue University, Fall 2008.

• Model selection for Lévy processes based on discrete-sampling. The fifth international conference on High Dimensional Probabilty. CIRM, Luminy, France. May, 2008.

• State-dependent utility maximization in markets driven by additive Lévy processes . AMS Spring Central Section Meeting, Bloomington, IN. Special Session on Financial Mathematics, April, 2008.

• State-dependent utility maximization in Lévy markets. Seminar on Mathematical Finance and Financial Engineering. Georgia Tech. Department of Mathematics. Spring 2008.

• Introduction to pricing methods for credit derivatives. Computationa Finance Seminar, Purdue University, Spring 2008.

• Modeling and estimation of the dynamics of asset prices. VIGRE Seminar, Purdue University, Fall 2007.

• Model selection for Lévy processes based on discrete-sampling . Statistics Research Colloquium, Purdue University, Fall 2007.

• Non-parametric estimation for some models driven by Lévy processes,The Third Erich L. Lehmann Symposium, 2007.

• State-dependent utility maximization in Lévy markets, Kent-Purdue Mini Symposium on Financial Mathematics, 2007

• State-dependent utility maximization in Lévy markets, Probability and statistics seminar, USC, Feb. 2007.

• Notes, Seminar "Topics in Financial Mathematics", UCSB, Jan. 2007.

• Calibration and portfolio optimization issues in asset price modelling driven by Lévy processes, ORIE Colloquium, Cornell, Jan. 2007.

• Estimation Methods for Lévy based models of asset prices, Financial Mathematics Seminar, Statistics Department, UCSB, Oct. 2006
  • Slides Talk 1
  • Slides Talk 2
  • Notes

• Nonparametric methods for financial models driven by Lévy processes, Special Colloquium, Department of Statistics, Purdue University, Mar. 2006

The content of this page and any opinions expressed therein are solely those of Jose E. Figueroa-Lopez.

Last modified: September 2008