Jose E. Figueroa-Lopez

Associate Professor of Statistics and Associate Professor of Mathematics (courtesy)
Associate Director of the Computational Finance Program
Purdue University
West Lafayette, IN 47907
Office: Math 542. Phone: (765) 494 6036
E-mail: figueroa@stat.purdue.edu


Research interests:

  • Mathematical finance: Estimation methods for high-frequency data. High-frequency trading and asset price formation. 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 methods using sieves, model selection, and adaptive methods.
  • Information and coding theory: Concentration inequalities applied to data compression.

Teaching:

  • Fall 2014:
  • Previous courses:
    • STAT 473. Introduction to arbitrage-free pricing of financial derivatives. Spring 2014.
    • STAT 695JFL. Stochastic Modeling with Point and Jump Processes. Fall 2013
    • STAT 511. Statistical Methods. Fall 2012 (also taught Spring 2010).
    • MA/STAT 539. Probability II. Fall 2012.
    • STAT 598F. Modeling with Jump Processes and Applications to Mathematical Finance. Spring 2010.
    • MA 515/STAT 540. Mathematics of Finance. Spring 2009. (Also taught Spring 2008).

Grants/Awards:

  • Purdue University Faculty Scholar, 2014-2019. Purdue University's recognition for "outstanding accomplishments by faculty mid-way through their academic career".
  • NSF CAREER Award: Bridging High-Frequency Data Analysis and Continuous-time Features of Lévy Models. DMS-1149692, 2012-2017.
  • NSF grant: Nonparametric Methods for Jump Processes Under Microstructure Noise. DMS-0906919, 2009-2012.

Research:


Other professional activities:

  • Organizer of the Special Session on asymptotic Methods in Financial Models with Jumps at the SIAM Conference on Financial Mathematics & Engineering, Nov. 13-15, 2014, Chicago, Illinois USA.
  • Associate Editor, Electronic Journal of Statistics, 2010-2012
  • Organizer of the Special Session on Statistical Inference of Stochastic Processes at the XI symposium on Probability and Stochastic Processes, CIMAT Guanajuato, Nov. 18-22, 2013.
  • Co-organizer of the Special Session on Quantitative Finance at the 8th International Symposium on Statistics, Purdue University, June 20-24, 2012.
  • Co-organizer of the Conference Modeling High Frequency Data in Finance 3 at Stevens Institute of Technology, July 27-31, 2011.
  • Co-organizer of the Special Session on Stochastic processes with applications to mathematical finance at the AMS 2011 Central Section Meeting to be held in Iowa City, IA, March 18-20, 2011
  • Co-organizer of the Special Session on Financial mathematics and statistics at the Spring AMS Southeastern Section Meeting, University of Kentucky, March 27-28, 2010.

Curriculum Vitae. (This version: October 2014).


Talks: