Research Interests:

  • Mathematical FinanceLévy-driven and jump-diffusion models; Near-expiration and short-maturity option asymptotics; Portfolio optimization problems in continuous-time models;  High-frequency algorithmic trading, limit order book modeling, and asset price formation; 
  • Statistics:  Inference methods based on high-frequency sampling data; Nonparametric Estimation and Model Selection Methods; Time Series Analysis.
  • Probability and Stochastic Processes: Asymptotic short-time properties of stochastic processes; Stochastic control; Simulation methods.

Grants/Awards:

  • NSF grant: A New Approach Toward Optimal and Adaptive Nonparametric Methods for High-Frequency Data. Role: Sole PI. DMS-1613016, 2016-2019.
  • NSF CAREER AWARD: Bridging High-Frequency Data Analysis and Continuous-time Features of Levy Models. Role: Sole PI. DMS-1561141, 2012-2017.
  • Purdue University Faculty Scholar, 2014. Purdue University's recognization for "oustanding accomplishment by faculty mid-way through their academic career".
  • NSF grant: Nonparametric Methods for Jump Processes Under Microstructure Noise. Role: Sole PI. DMS-0906919, 2009-2012.

 


José E. figueroa-lópez
Professor

Department of Mathematics
Washington University in St. Louis
One Brookings Drive, St. Louis, MO 63130-4899

Office: Cupples 203A.
Phone: (314)935-7539
E-mail: figueroa@math.wustl.edu