1 citations · 1 across the 1 of their papers we have counts for
2 papers
math.ST2018
Optimal Iterative Threshold-Kernel Estimation of Jump Diffusion Processes
José E. Figueroa-López, Cheng Li, Jeffrey Nisen
In this paper, we propose a new threshold-kernel jump-detection method for jump-diffusion processes, which iteratively applies thresholding and kernel methods in an approximately o…
q-fin.CP2011★ 1 cited
Pricing and Semimartingale Representations of Vulnerable Contingent Claims in Regime-Switching Markets
Agostino Capponi, Jose Figueroa-Lopez, Jeffrey Nisen
Using a suitable change of probability measure, we obtain a novel Poisson series representation for the arbitrage- free price process of vulnerable contingent claims in a regime-sw…