3 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…
math.ST2017
Estimation of a noisy subordinated Brownian Motion via two-scales power variations
Jose E. Figueroa-Lopez, K. Lee
High frequency based estimation methods for a semiparametric pure-jump subordinated Brownian motion exposed to a small additive microstructure noise are developed building on the t…
q-fin.PM2009
State-dependent utility maximization in Lévy markets
Jose E. Figueroa-Lopez, Jin Ma
We revisit Merton's portfolio optimization problem under boun-ded state-dependent utility functions, in a market driven by a Lévy process extending results by Karatzas et. al.…