| Dynamic Portfolio Optimization with a Defaultable Security and Regime‐Switching A Capponi, JE Figueroa‐López Mathematical Finance 24 (2), 207-249, 2014 | 83 | 2014 |
| Nonparametric estimation for Lévy models based on discrete-sampling JE Figueroa-López Lecture notes-monograph series, 117-146, 2009 | 71 | 2009 |
| Small-time moment asymptotics for Lévy processes JE Figueroa-López Statistics & Probability Letters 78 (18), 3355-3365, 2008 | 69 | 2008 |
| Small-time expansions for the transition distributions of Lévy processes JE Figueroa-López, C Houdré Stochastic Processes and their applications 119 (11), 3862-3889, 2009 | 68 | 2009 |
| The small-maturity smile for exponential Lévy models JE Figueroa-López, M Forde SIAM Journal on Financial Mathematics 3 (1), 33-65, 2012 | 53 | 2012 |
| Estimation of NIG and VG models for high frequency financial data JE Figueroa‐López, SR Lancette, K Lee, Y Mi Handbook of Modeling High‐Frequency Data in Finance, 1-25, 2011 | 51 | 2011 |
| Risk bounds for the non-parametric estimation of Lévy processes JE Figueroa-López, C Houdré Lecture Notes-Monograph Series, 96-116, 2006 | 48 | 2006 |
| Nonparametric estimation of time-changed Lévy models under high-frequency data JE Figueroa-López Advances in Applied Probability 41 (4), 1161-1188, 2009 | 37 | 2009 |
| Optimum thresholding using mean and conditional mean squared error JE Figueroa-López, C Mancini Journal of Econometrics 208 (1), 179-210, 2019 | 35 | 2019 |
| Sieve-based confidence intervals and bands for Lévy densities JE Figueroa-López | 35 | 2011 |
| Nonparametric estimation of Lévy processes with a view towards mathematical finance JE Figueroa-López Georgia Institute of Technology, 2004 | 34 | 2004 |
| Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps JE Figueroa-López, R Gong, C Houdré Stochastic Processes and their Applications 122 (4), 1808-1839, 2012 | 32 | 2012 |
| Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps JE Figueroa-López, S Ólafsson Finance and Stochastics 20 (4), 973-1020, 2016 | 28 | 2016 |
| Optimally thresholded realized power variations for Lévy jump diffusion models JE Figueroa-López, J Nisen Stochastic Processes and their Applications 123 (7), 2648-2677, 2013 | 26 | 2013 |
| Jump-diffusion models driven by Lévy processes JE Figueroa-López Handbook of Computational Finance, 61-88, 2011 | 24 | 2011 |
| High‐Order Short‐Time Expansions for ATM Option Prices of Exponential Lévy Models JE Figueroa‐López, R Gong, C Houdré Mathematical Finance 26 (3), 516-557, 2016 | 22 | 2016 |
| Optimal kernel estimation of spot volatility of stochastic differential equations JE Figueroa-López, C Li Stochastic Processes and their Applications 130 (8), 4693-4720, 2020 | 21 | 2020 |
| Statistical estimation of Lévy-type stochastic volatility models JE Figueroa-López Annals of Finance 8, 309-335, 2012 | 18 | 2012 |
| Pricing and Semimartingale Representations of Vulnerable Contingent Claims in Regime‐Switching Markets A Capponi, JE Figueroa‐López, J Nisen Mathematical Finance 24 (2), 250-288, 2014 | 16 | 2014 |
| Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility JE Figueroa-López, S Ólafsson Finance and Stochastics 20 (1), 219-265, 2016 | 15 | 2016 |
Martin FordeKing's College LondonVerified email at kcl.ac.uk
