José E. Figueroa‐López

718 total citations
33 papers, 313 citations indexed

About

José E. Figueroa‐López is a scholar working on Finance, Management Science and Operations Research and Statistics and Probability. According to data from OpenAlex, José E. Figueroa‐López has authored 33 papers receiving a total of 313 indexed citations (citations by other indexed papers that have themselves been cited), including 31 papers in Finance, 8 papers in Management Science and Operations Research and 7 papers in Statistics and Probability. Recurrent topics in José E. Figueroa‐López's work include Stochastic processes and financial applications (30 papers), Financial Risk and Volatility Modeling (22 papers) and Statistical Methods and Inference (6 papers). José E. Figueroa‐López is often cited by papers focused on Stochastic processes and financial applications (30 papers), Financial Risk and Volatility Modeling (22 papers) and Statistical Methods and Inference (6 papers). José E. Figueroa‐López collaborates with scholars based in United States, Italy and Ireland. José E. Figueroa‐López's co-authors include Agostino Capponi, Christian Houdré, Martin Forde, Cecilia Mancini, Andrea Pascucci, Kiseop Lee, Cheng Ouyang, Michael Levine, Yi Zhang and Cheng Li and has published in prestigious journals such as Journal of Econometrics, Econometric Theory and Advances in Applied Probability.

In The Last Decade

José E. Figueroa‐López

30 papers receiving 301 citations

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name h Career Trend Papers Cites
José E. Figueroa‐López United States 12 275 81 70 56 33 33 313
Christa Cuchiero Austria 11 263 1.0× 75 0.9× 52 0.7× 34 0.6× 23 0.7× 25 315
Claude Martini France 8 308 1.1× 84 1.0× 129 1.8× 61 1.1× 25 0.8× 29 354
Emmanuelle Clément France 7 295 1.1× 80 1.0× 46 0.7× 54 1.0× 54 1.6× 18 332
Craig A. Friedman United States 7 217 0.8× 71 0.9× 60 0.9× 21 0.4× 33 1.0× 38 277
Erik Ekström Sweden 13 384 1.4× 176 2.2× 92 1.3× 50 0.9× 21 0.6× 54 441
Martin Larsson United States 9 362 1.3× 171 2.1× 45 0.6× 52 0.9× 56 1.7× 39 437
Antonis Papapantoleon Germany 7 246 0.9× 74 0.9× 42 0.6× 72 1.3× 22 0.7× 22 270
Almut E. D. Veraart United Kingdom 10 230 0.8× 114 1.4× 30 0.4× 20 0.4× 31 0.9× 48 305
Elisa Nicolato Denmark 7 286 1.0× 125 1.5× 21 0.3× 61 1.1× 18 0.5× 11 311
Masaaki Fukasawa Japan 13 477 1.7× 247 3.0× 52 0.7× 53 0.9× 51 1.5× 40 523

Countries citing papers authored by José E. Figueroa‐López

Since Specialization
Citations

This map shows the geographic impact of José E. Figueroa‐López's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by José E. Figueroa‐López with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites José E. Figueroa‐López more than expected).

Fields of papers citing papers by José E. Figueroa‐López

Since Specialization
Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by José E. Figueroa‐López. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by José E. Figueroa‐López. The network helps show where José E. Figueroa‐López may publish in the future.

Co-authorship network of co-authors of José E. Figueroa‐López

This figure shows the co-authorship network connecting the top 25 collaborators of José E. Figueroa‐López. A scholar is included among the top collaborators of José E. Figueroa‐López based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with José E. Figueroa‐López. José E. Figueroa‐López is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

20 of 20 papers shown
1.
Figueroa‐López, José E., et al.. (2024). Efficient integrated volatility estimation in the presence of infinite variation jumps via debiased truncated realized variations. Stochastic Processes and their Applications. 176. 104429–104429.
2.
Figueroa‐López, José E., et al.. (2024). Adaptive Optimal Market Making Strategies with Inventory Liquidation Cost. SIAM Journal on Financial Mathematics. 15(3). 653–699.
3.
Figueroa‐López, José E., et al.. (2020). Optimal iterative threshold-kernel estimation of jump diffusion processes. Statistical Inference for Stochastic Processes. 23(3). 517–552. 1 indexed citations
4.
Figueroa‐López, José E., et al.. (2018). Small-time expansions for state-dependent local jump–diffusion models with infinite jump activity. Stochastic Processes and their Applications. 128(12). 4207–4245. 2 indexed citations
5.
Figueroa‐López, José E. & Kiseop Lee. (2017). Estimation of a noisy subordinated Brownian motion via two-scales power variations. Journal of Statistical Planning and Inference. 189. 16–37. 2 indexed citations
6.
Figueroa‐López, José E. & Cecilia Mancini. (2017). Optimum Thresholding Using Mean and Conditional Mean Square Error. SSRN Electronic Journal. 1 indexed citations
7.
Figueroa‐López, José E., et al.. (2017). Third-order short-time expansions for close-to-the-money option prices under the CGMY model. Applied Mathematical Finance. 24(6). 547–574. 3 indexed citations
8.
Figueroa‐López, José E., et al.. (2015). Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility. Finance and Stochastics. 20(1). 219–265. 11 indexed citations
9.
Capponi, Agostino, José E. Figueroa‐López, & Andrea Pascucci. (2015). Dynamic credit investment in partially observed markets. Finance and Stochastics. 19(4). 891–939. 10 indexed citations
10.
Figueroa‐López, José E., et al.. (2014). Small-time expansions for local jump-diffusion models with infinite jump activity. Bernoulli. 20(3). 3 indexed citations
11.
Figueroa‐López, José E., et al.. (2013). Optimally thresholded realized power variations for Lévy jump diffusion models. Stochastic Processes and their Applications. 123(7). 2648–2677. 11 indexed citations
12.
Figueroa‐López, José E. & Michael Levine. (2013). Nonparametric regression with rescaled time series errors. Journal of Time Series Analysis. 34(3). 345–361. 2 indexed citations
13.
Figueroa‐López, José E., et al.. (2012). Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps. Stochastic Processes and their Applications. 122(4). 1808–1839. 13 indexed citations
14.
Capponi, Agostino, et al.. (2012). PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIME‐SWITCHING MARKETS. Mathematical Finance. 24(2). 250–288. 9 indexed citations
15.
Figueroa‐López, José E. & Martin Forde. (2012). The Small-Maturity Smile for Exponential Lévy Models. SIAM Journal on Financial Mathematics. 3(1). 33–65. 26 indexed citations
16.
Capponi, Agostino, et al.. (2011). Pricing and Portfolio Optimization Analysis in Defaultable Regime-Switching Markets.
17.
Figueroa‐López, José E.. (2010). Approximations for the distributions of bounded variation Lévy processes. Statistics & Probability Letters. 80(23-24). 1744–1757. 2 indexed citations
18.
Figueroa‐López, José E.. (2009). Nonparametric estimation of time-changed Lévy models under high-frequency data. Advances in Applied Probability. 41(4). 1161–1188. 22 indexed citations
19.
Figueroa‐López, José E.. (2009). Nonparametric estimation of time-changed Lévy models under high-frequency data. Advances in Applied Probability. 41(4). 1161–1188. 1 indexed citations
20.
Figueroa‐López, José E. & Christian Houdré. (2009). Small-time expansions for the transition distributions of Lévy processes. Stochastic Processes and their Applications. 119(11). 3862–3889. 31 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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