Journal Article

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.

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.

Thesis

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