The Small-Maturity Smile for Exponential Lévy Models. - José E. Figueroa-López; Martin Forde (SIAM J. Financial Math., 2012)

Dynamic credit investment in partially observed markets. - Agostino Capponi; José E. Figueroa-López; Andrea Pascucci (Finance Stochastics, 2015)

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)

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 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)

Adaptive Optimal Market Making Strategies with Inventory Liquidation Cost. - Jonathan A. Chávez-Casillas; José E. Figueroa-López; Chuyi Yu; Yi Zhang (SIAM J. Financial Math., 2024)