7 citations · 26 across the 12 of their papers we have counts for
16 papers
Double continuation regions for American options under Poisson exercise opportunities
Zbigniew Palmowski, José Luis Pérez, Kazutoshi Yamazaki
We consider the Lévy model of the perpetual American call and put options with a negative discount rate under Poisson observations. Similar to the continuous observation case as in…
Universality classes for general random matrix flows
Jacek Małecki, José Luis Pérez
We consider matrix-valued processes described as solutions to stochastic differential equations of very general form. We study the family of the empirical measure-valued processes…
Optimal bail-out dividends problem with transaction cost and capital injection constraint
Mauricio Junca, Harold Moreno-Franco, José Luis Pérez
We consider the bail-out optimal dividend problem under fixed transaction costs for a Lévy risk model. Furthermore, we consider the version with a constraint expected net present v…
Backbone decomposition of multitype superprocesses
Dorottya Fekete, Sandra Palau, Juan Carlos Pardo +1
In this paper, we provide a construction of the so-called backbone decomposition for multitype supercritical superprocesses. While backbone decompositions are fairly well-known for…
Optimality of multi-refraction dividend strategies in the dual model
Irmina Czarna, José Luis Pérez, Kazutoshi Yamazaki
We consider the multi-refraction strategies in two equivalent versions of the optimal dividend problem in the dual (spectrally positive Lévy) model. The first problem is a variant…
Convergence of the empirical spectral distribution of Gaussian matrix-valued processes
Arturo Jaramillo, Juan Carlos Pardo, José Luis Pérez
For a given normalized Gaussian symmetric matrix-valued process , we consider the process of its eigenvalues as well a…
Fluctuation theory for level-dependent Lévy risk processes
Irmina Czarna, José-Luis Pérez, Tomasz Rolski +1
A level-dependent Lévy process solves the stochastic differential equation , where is a spectrally negative Lévy process. A special case is a multi-re…
American options under periodic exercise opportunities
José Luis Pérez, Kazutoshi Yamazaki
In this paper, we study a version of the perpetual American call/put option where exercise opportunities arrive only periodically. Focusing on the exponential Lévy models with i.i.…
A simple construction of positive loops of Legendrians
Dishant Pancholi, José Luis Pérez, Francisco Presas
We construct positive loops of Legendrian submanifolds in several instances. In particular, we partially recover G. Liu's result stating that any loose Legendrian admits a positive…
Mixed Periodic-classical barrier strategies for Lévy risk processes
José-Luis Pérez, Kazutoshi Yamazaki
Given a spectrally negative Lévy process and independent Poisson observation times, we consider a periodic barrier strategy that pushes the process down to a certain level whenever…
On the optimality of Periodic barrier strategies for a spectrally positive Lévy process
José-Luis Pérez, Kazutoshi Yamazaki
We study the optimal dividend problem in the dual model where dividend payments can only be made at the jump times of an independent Poisson process. In this context, Avanzi et al.…
Spectrally negative Lévy processes with Parisian reflection below and classical reflection above
Florin Avram, José Luis Pérez, Kazutoshi Yamazaki
We consider a company that receives capital injections so as to avoid ruin. Differently from the classical bail-out settings where the underlying process is restricted to stay at o…
Refraction-reflection strategies in the dual model
José-Luis Pérez, Kazutoshi Yamazaki
We study the dual model with capital injection under the additional condition that the dividend strategy is absolutely continuous. We consider a refraction-reflection strategy that…
Refracted Continuous-State Branching Processes: Self-regulating populations
Antonio Murillo-Salas, José Luis Pérez, Arno Siri-Jégousse
We construct a modified continuous-state branching process whose Malthusian parameter is replaced by another when passing below a certain level. The construction is obtained via a…
The excursion measure away from zero for spectrally negative Lévy processes
Juan Carlos Pardo, Jose Luis Pérez, Víctor Manuel Rivero
We provide a description of the excursion measure from a point for a spectrally negative Lévy process. The description is based in two main ingredients. The first is building a spe…
On the Free Fractional Wishart Process
Juan Carlos Pardo, José Luis Pérez, Victor Pérez-Abreu
We investigate the process of eigenvalues of a fractional Wishart process defined as N=B*B, where B is a matrix fractional Brownian motion recently studied by Nualart and Pérez-Abr…