Publications

• Adaptive Optimal Market Making Strategies with Inventory Liquidation Cost (with J. Chavez-Casillas, C. Yu, and Y. Zhang). SIAM Journal on Financial Mathematics, vol. 15, issue 3, 2024. https://doi.org/10.1137/23M1571058.
• Efficient Integrated Volatility Estimation in the Presence of Infinite Variation Jumps via Debiased Truncated Realized Variations (with B. Cooper Boniece and Yuchen Han). Stochastic Processes and their Applications, vol. 176, 2024 https://doi.org/10.1016/j.spa.2024.104429. (For an earlier version see Efficient Volatility Estimation for Levy Processes with Jumps of Unbounded Variation).
• Kernel Estimation of Spot Volatility with Microstructure Noise Using Pre-Averaging (with B. Wu). Econometric Theory, Vol. 40, Issue 3, p. 558-607, 2024. DOI:10.1017/S0266466622000470.
• Estimation of Tempered Stable Levy Models of Infinite Variation (with R. Gong and Y. Han). Methodology and Computing in Applied Probability, Vol. 24, p. 713-747, 2022.
  DOI:  10.1007/s11009-022-09940-7
• Bayesian Inference on Volatility in the Presence of Infinite Jump Activity and Microstructure Noise (with Q. Wang and T. Kuffner). Electronic Journal Of Statistics, Vol. 15, No. 1, p. 506-553, 2021. DOI:  10.1214/20-EJS1794
• Optimal Iterative Threshold-Kernel Estimation of Jump Diffusion Processes (with C. Li and J. Nisen). Statistical Inference for Stochastic Processes, Vol. 23, p. 517-552, 2020. DOI:  10.1007/s11203-020-09211-7.
• Optimal Kernel Estimation of Spot Volatility of Stochastic Differential Equations (with C. Li). (Supplement to “Optimal Kernel Estimation of Spot Volatility of Stochastic Differential Equations”), Stochastic Processes and Their Applications, vol. 130, Issue 8, p. 4693-4720, 2020. DOI:  doi.org/10.1016/j.spa.2020.01.013.
• Second-order properties of thresholded realized power variations of FJA additive processes (with J. Nisen). Statistical Inference for Stochastic Processes, Vol. 22, Issue 3, p. 431-474, 2019. DOI:  10.1007/s11203-019-09198-w.
• Optimum thresholding using mean and conditional mean square error (with C. Mancini). Journal of Econometrics Vol. 208, issue 1, p. 179-210, 2019. DOI:  10.1016/j.jeconom.2018.09.011.
• Change-point detection for Levy processes (with S. Olafsson). Annals of Applied Probability Vol. 29, No. 2, p. 717-738, 2019. DOI:  10.1214/17-AAP1368.
• Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity (with Y. Luo). Stochastic Processes and their Applications, Vol. 128, Issue 12, p. 4207-4245, 2018. DOI: 10.1016/j.spa.2018.02.001
• Optimal placement of a small order in a diffusive limit order book (with H. Lee and R. Pasupathy). High Frequency Vol. 1, Issue 2, p. 87-116, 2018. DOI:  10.1002/hf2.10017
• Short-Time Expansions for Call Options on Leveraged ETFs under exponential Lévy models with local volatility (with R. Gong and M. Lorig). SIAM Journal on Financial Mathematics, Vol. 9, Issue 1, p. 347-380, 2018. DOI: 10.1137/17M1111292
• Third-Order Short-Time Expansions for Close-to-the-Money Option Prices Under the CGMY Model (with R. Gong and C. Houdré). Journal of Applied Mathematical Finance 24, p. 547-574, 2017. DOI: 10.1080/1350486X.2018.1429935
• A one-level limit order book model with memory and variable spread (with J.A. Chavez-Casillas). Stochastic Processes and their Applications 127, 2447-2481, 2017. DOI: 10.1016/j.spa.2016.11.005
• Estimation of a noisy subordinated Brownian Motion via two-scale power variations (with K. Lee). Journal of Statistical Planning and Inference 189, 16-37, 2017. DOI: 10.1016/j.jspi.2017.05.004
• Short-time asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps (with S. Olafsson). Finance and Stochastics 20(4), 973-1020, 2016.  DOI: 10.1007/s00780-016-0313-3
• High-order short-time expansions for ATM option prices of exponential Lévy models (with R. Gong and C. Houdré). Mathematical Finance 26(3), 516-557, 2016. DOI:10.1111/mafi.12064.
• Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility (with S. Olafsson). Finance and Stochastics 20(1), 219-265, 2016. DOI: 10.1007/s00780-015-0281-z.
• Dynamic credit investment in partially observed markets (with A. Capponi and A. Pascucci). Finance and Stochastics 19(4) 891-939, 2015. DOI:10.1007/s00780-015-0272-0.
• Small-time expansions for local jump-diffusion models with infinite jump activity (with Y. Luo and C. Ouyang). Bernoulli 20(3) 1165-1209, 2014. DOI: 10.3150/13-BEJ518.
• Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias (with P. Tankov). Bernoulli 20(3) 1126-1164, 2014. DOI: 10.3150/13-BEJ517.
• Pricing and semimartingale representations of vulnerable contingent claims in regime-switching markets (with A. Capponi and J. Nisen). Mathematical Finance, 24(2), 250-288, 2014. DOI:10.1111/j.1467-9965.2012.00533.x
• Dynamic portfolio optimization with a defaultable security and regime switching (with A. Capponi). Mathematical Finance, 24(2), 207-249, 2014. DOI:10.1111/j.1467-9965.2012.00522.x
• Optimally thresholded realized power variations for Lévy jump diffusion models (with J. Nisen). Stochastic Processes and their Applications 123(7), 2648-2677, 2013. DOI:10.1016/j.spa.2013.04.006
• Nonparametric regression with rescaled time series errors (with M. Levine). Journal of Time Series Analysis, 34(3), 345-361, 2013. DOI: 10.1111/jtsa12017.
• Statistical estimation of Lévy-type stochastic volatility models. Annals of Finance 8(2), 309-335, 2012. DOI:10.1007/s10436-010-0150-x.
• Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps (with R. Gong and C. Houdré). Stochastic Processes and their Applications 122, 1808-1839, 2012. DOI: 10.1016/j.spa.2012.01.013
• Jump-diffusion models driven by Lévy processes. In the Handbook of Computational Finance, J. Duan, J.E. Gentle, and W. Hardle (eds.). Springer, 2012. ISBN: 978-3-642-17253-3.
• The small-maturity smile for exponential Lévy models (with Martin Forde). SIAM Journal on Financial Mathematics 3(1), 33-65, 2012. DOI: 10.1137/110820658.
• Estimation of NIG and VG models for high frequency financial data (with S.R. Lancette, K. Lee, and Y. Mi). In the Handbook of Modeling High-Frequency Data in Finance, F. Viens, M.C. Mariani, and I. Florescu (eds.). J. Wiley, 2011. ISBN: 978-0-470-87688-6.
• Central limit theorems for the nonparametric estimation of time-changed Lévy models. Scandinavian Journal of Statistics 38, 748-765, 2011. DOI:10.1111/j.1467-9469.2010.00728.x.
• Sieve-based confidence intervals and bands for Lévy densities. Bernoulli 17(2), 643-670, 2011. DOI:10.3150/10-BEJ286.
• Approximations for the distributions of bounded variation Lévy processes. Statistics and Probability Letters 80, 1744-1757, 2010. DOI:10.1016/j.spl.2010.07.019.
• Optimal portfolios in Levy markets under state-dependent bounded utility functions (with J. Ma). International Journal of Stochastic Analysis, 2010. DOI:10.1155/2010/236587.
• Nonparametric estimation of time-changed Lévy models under high-frequency data . Advances in Applied Probability 41(4), 1161-1188, 2009. DOI:10.1239/aap/1261669591.
• Small-time expansions for the transition distribution of Lévy processes (with C. Houdré). Stochastic Processes and their Applications 119, 3862-3889, 2009. DOI: 10.1016/j.spa.2009.09.002
• Nonparametric estimation for Lévy models based on discrete-sampling. In IMS Lecture Notes-Monograph Series (LNMS). Optimality: The Third Erich L. Lehmann Symposium (editors: J. Rojo). Volume 57, 117-146, 2009. DOI:10.1214/09-LNMS5709.
• Small-time moment asymptotics for Lévy processes. Statistics and Probability Letters 78, 3355-3365, 2008. DOI:10.1016/j.spl.2008.07.012.
• Risk bounds for the non-parametric estimation of Lévy processes (with C. Houdré). In IMS Lecture Notes-Monograph Series (LNMS). High Dimensional Probability IV. IMS Lecture Notes (editors: E. Gine, V. Kolchinskii, W. Li, J. Zinn). Volume 51, 96-116, 2006. DOI:10.1214/074921706000000789
• On the asymptotic redundancy of lossless block coding with two codeword lengths (with C. Houdré). IEEE Transactions on Information Theory, 688-692, Vol. 51, 2005. DOI:10.1109/TIT.2004.840858.

Some Preprints and Current Work:

• Data-driven fixed-point tuning for truncated realized variations (with B. Cooper Boniece and Yuchen Han). This version: May 2024. Submitted.
• Estimation of Integrated Volatility Functionals with Kernel Spot Volatility Estimators (with Jincheng Pang and Bei Wu). This version: July 2024. Submitted.

Other Manuscripts:

• Market Making with Stochastic Liquidity Demand: Simultaneous Order Arrival and Price Change Forecasts (with Agostino Capponi and Chuyi Yu). This version: Jan. 2021.
• High-order short-time expansions for ATM option prices under a CGMY model (with Ruoting Gong and Christian Houdré). This version: July 2012.
• The large-time smile and skew for exponential Lévy model (with Martin Forde and Antoine Jacquier). This version: February 2012.
• An overview of a nonparametric estimation method for Levy processes (with C. Houdre).
• A selected survey of portfolio optimization problems.