Jorge is a postdoctoral researcher at the Department of Statistics of the University of WarwickLink opens in a new window and a Visiting Researcher of the Mathematical FoundationsLink opens in a new window Challenge of the Programme on Data-Centric EngineeringLink opens in a new window at The Alan Turing InstituteLink opens in a new window.
Jorge completed his Master's and Undergraduate degrees at the Faculty of SciencesLink opens in a new window of the National Autonomous University of MexicoLink opens in a new window in Mathematical Sciences and Actuarial Sciences, respectively.
- Probability: invariance principles, local time, coupling, stochastic analysis for processes with and without jumps, Levy processes, exchangeable increment processes, random walks, Markov chains, optimal stopping.
- Statistics: machine learning, parametric and non-parametric estimation.
- Numerical stochastics: simulation of processes with and without jumps, weak and strong approximations, Monte Carlo, simulation.
- Mathematical finance: risk management and price prediction, stochastic volatility models with jumps, arbitrage.
Title: Asymptotic shape of the concave majorant of a Lévy process
Authors: Bang, D., González Cázares, J.I., Mijatović, A.
To appear in Annales Henri Lebesgue (2022)
Title: Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
Authors: González Cázares, J.I., Mijatović, A.
To appear in Finance and Stochastics (2022)
Links: arXiv, GitHub
Title: Geometrically Convergent Simulation of the Extrema of Lévy Processes
Authors: González Cázares, J.I., Mijatović, A., Uribe Bravo, G.
To appear in Mathematics of Operations Research (2021)
Links: arXivLink opens in a new window, GitHubLink opens in a new window
Title: Implementable coupling of Lévy process and Brownian motion
Authors: Fomichov, V., González Cázares, J.I., Ivanovs, J.
Stochastic Processes and Their Applications 142 (2021)
Links: MR4321329, arXiv
Title: Recovering Brownian and jump parts from high-frequency observations of a Lévy process
Authors: González Cázares, J.I., Ivanovs, J.
Bernoulli 27 (2021)
Links: MR4303889, arXivLink opens in a new window
- Université de Lausanne. Actuarial seminar. May 2022
- Isaac Newton Institute. Stochastic control and fractional dynamics. April 2022.
- Ritsumeikan University. Probability seminar. 13th, 20th and 27th of June 2019 and 22th of April 2021.
- National Autonomous University of Mexico. SPH seminar. 24th of May 2021
- Bernoulli One World Symposium. August 2020
- University of Warwick. Algorithms seminar. 31st of May 2019.
- University of Kent. SMSAS seminar. 23rd of November 2018.
Emails: jorge dot ignacio dot gc at gmail dot com, Jorge dot I dot Gonzalez-Cazares at warwick dot ac dot uk or jgonzalezcazares at turing dot ac dot uk
ResearchGateLink opens in a new window, ORCiDLink opens in a new window, arXivLink opens in a new window, GitHubLink opens in a new window, The Alan Turing InstituteLink opens in a new window, Personal webpageLink opens in a new window
Short YouTube videos of some of the articles are availableLink opens in a new window.