José E. Figueroa-López

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We derive a small-time expansion for out-of-the-money call options under an exponential Lévy model, using the small-time expansion for the distribution function given in Figueroa-López&Houdré[FLH09], combined with a change of numéraire via the Esscher transform. In particular, we find that the effect of a non-zero volatility σ of the Gaussian component of(More)
In Figueroa-López et al. (2013) [High-order short-time expansions for ATM option prices of exponential Lévy models], a second order approximation for at-the-money (ATM) option prices is derived for a large class of exponential Lévy models, with or without a Brownian component. The purpose of this article is twofold. First, we relax the regularity conditions(More)
The implied volatility slope has received relatively little attention in the literature on short-time asymptotics for financial models with jumps, despite its importance in model selection and calibration. In this paper, we fill this gap by providing high-order asymptotic expansions for the at-the-money implied volatility slope of a rich class of stochastic(More)
We consider the problem of maximizing expected utility for a power investor who can allocate his wealth in a stock, a defaultable security, and a money market account. The dynamics of these security prices are governed by geometric Brownian motions modulated by a hidden continuous time finite state Markov chain. We reduce the partially observed stochastic(More)
We are interested in modeling a zero mean heteroscedastic time series process with autoregressive error process of finite known order p. The model can be used for testing a martingale difference sequence hypothesis that is often adopted uncritically in financial time series against a fairly general alternative. When the argument is determinis-tic, we(More)
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