José E. Figueroa-López

According to our database, José E. Figueroa-López authored at least 5 papers between 2012 and 2018.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2018

Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility.

José E. Figueroa-López, Ruoting Gong, Matthew Lorig

SIAM J. Financial Math., 2018

2016

Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps.

José E. Figueroa-López, Sveinn Ólafsson

Finance Stochastics, 2016

Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility.

José E. Figueroa-López, Sveinn Ólafsson

Finance Stochastics, 2016

2015

Dynamic credit investment in partially observed markets.

Agostino Capponi, José E. Figueroa-López, Andrea Pascucci

Finance Stochastics, 2015

2012

The Small-Maturity Smile for Exponential Lévy Models.

José E. Figueroa-López, Martin Forde

SIAM J. Financial Math., 2012