2023

González Cázares, Jorge Ignacio, Kohatsu-Higa, Arturo and Mijatović, Aleksandar (2023) Joint density of the stable process and its supremum : regularity and upper bounds. Bernoulli, 29 (4). pp. 3443-3469. doi:10.3150/23-bej1590 ISSN 1350-7265.

González Cázares, Jorge Ignacio and Mijatović, Aleksandar (2023) A Monte Carlo algorithm for the extrema of tempered stable processes. Advances in Applied Probability . doi:10.1017/apr.2023.1 ISSN 0001-8678. (In Press)

2022

González Cázares, Jorge and Mijatović, Aleksandar (2022) Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation. Finance and Stochastics, 26 (4). pp. 671-732. doi:10.1007/s00780-022-00486-7 ISSN 1432-1122.

González Cázares, Jorge Ignacio and Mijatović, Aleksandar (2022) Convex minorants and the fluctuation theory of Lévy processes. Latin American Journal of Probability and Mathematical Statistics, 19 (1). pp. 983-999. doi:10.30757/ALEA.v19-39 ISSN 1980-0436.

2021

González Cázares, Jorge Ignacio (2021) Convex minorants and the simulation of the extrema of Lévy processes. PhD thesis, University of Warwick.

Fomichov, Vladimir, González Cázares, Jorge and Ivanovs, Jevgenijs (2021) Implementable coupling of Lévy process and Brownian motion. Stochastic Processes and their Applications, 142 . pp. 407-431. doi:10.1016/j.spa.2021.09.008 ISSN 0304-4149.

González Cázares, Jorge and Ivanovs, Jevgenijs (2021) Recovering Brownian and jump parts from high-frequency observations of a Lévy process. Bernoulli, 27 (4). pp. 2413-2436. doi:10.3150/20-bej1314 ISSN 1350-7265.