José E. Figueroa-López

Publication Activity (10 Years)

Years Active: 2012-2024
Publications (10 Years): 5

Top Topics

Budget Constraints

Market Conditions

Top Venues

Finance Stochastics

SIAM J. Financial Math.

Publications

Jonathan A. Chávez Casillas, José E. Figueroa-López, Chuyi Yu, Yi Zhang
Adaptive Optimal Market Making Strategies with Inventory Liquidation Cost. SIAM J. Financial Math. 15 (3) (2024)
José E. Figueroa-López, Ruoting Gong, Matthew Lorig
Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility. SIAM J. Financial Math. 9 (1) (2018)
José E. Figueroa-López, Sveinn Ólafsson
Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility. Finance Stochastics 20 (1) (2016)
José E. Figueroa-López, Sveinn Ólafsson
Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps. Finance Stochastics 20 (4) (2016)
Agostino Capponi, José E. Figueroa-López, Andrea Pascucci
Dynamic credit investment in partially observed markets. Finance Stochastics 19 (4) (2015)
José E. Figueroa-López, Martin Forde
The Small-Maturity Smile for Exponential Lévy Models. SIAM J. Financial Math. 3 (1) (2012)