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:


Curriculum Vitae


Talks:

  • Notes, Seminar "Topics in Financial Mathematics", UCSB, Jan. 2007.
  • Estimation Methods for Lévy 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: September 2008