1 citations · 2 across the 3 of their papers we have counts for
3 papers
One-level limit order book models with memory and variable spread
Jonathan A. Chávez-Casillas, José E. Figueroa-López
We propose a new model for the level I of a Limit Order Book (LOB), which incorporates the information about the standing orders at the opposite side of the book after each price c…
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…
Dynamic Portfolio Optimization with a Defaultable Security and Regime Switching
Agostino Capponi, Jose E. Figueroa-Lopez
We consider a portfolio optimization problem in a defaultable market with finitely-many economical regimes, where the investor can dynamically allocate her wealth among a defaultab…