|
-
-
-
-
- Jose E. Figueroa-Lopez
|
Research Interests :
- Mathematical finance: Nonparametric estimation 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:
- Spring 2010:
- STAT 598F.
Modeling with Jump Processes and Applications to Mathematical Finance
-
STAT 511. Statistical Methods.
- Fall 2009:
- Spring 2009:
Research:
- Articles:
- Nonparametric
estimation of time-changed Levy models under high-frequency data
. To appear Advances in Applied Probability 41.4 (December 2009) . This version: Jul 2009.
-
Small-time expansions for the transition distribution of Levy processes (with C. Houdré).
Stochastic Processes and their Applications 119 pp. 3862-3889, 2009. dx.doi.org/10.1016/j.spa.2009.09.002
- Nonparametric estimation for Levy models based on discrete-sampling.
IMS Lecture Notes-Monograph Series (LNMS). Optimality: The Third Erich
L. Lehmann Symposium. Volume 57, 117-146, 2009.
- Small-time
moment asymptotics for Levy processes. Statistics and Probability Letters 78, 3355-3365, 2008.
DOI:10.1016/j.spl.2008.07.012.
- Risk
bounds for the non-parametric estimation of Levy 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.
- Some Preprints and current work:
Research Funding:
Nonparametric
Methods for
Jump
Processes Under Microstructure Noise,
NSF DMS-0906919, 2009-2012.
(Fall 2008)
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: October 2009