8
H index
6
i10 index
267
Citations
Lars Stentoft : Citation Profile
University of Western Ontario (34% share) | RESEARCH PRODUCTION: 29 Articles 28 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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19 years (2004 - 2023). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Lars Stentoft. | Is cited by:
| Cites to:
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Main data
Where Lars Stentoft has published?
| Journals with more than one article published | # docs |
|---|---|
| JRFM | 6 |
| Journal of Banking & Finance | 3 |
| Journal of Empirical Finance | 2 |
| The Journal of Financial Econometrics | 2 |
| International Journal of Forecasting | 2 |
| Risk Management and Insurance Review | 2 |
| Quantitative Finance | 2 |
Recent works citing Lars Stentoft (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Risk management with Local Least Squares Monte-Carlo. (2023). Akbaraly, Adnane ; Hainaut, Donatien. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023003. Full description at Econpapers || Download paper |
| 2023 | Quantum algorithm for stochastic optimal stopping problems. (2021). Santha, Miklos ; Rebentrost, Patrick ; Bao, Jinge ; Luongo, Alessandro ; Doriguello, Joao F. In: Papers. RePEc:arx:papers:2111.15332. Full description at Econpapers || Download paper |
| 2023 | Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275. Full description at Econpapers || Download paper |
| 2023 | Finite Difference Solution Ansatz approach in Least-Squares Monte Carlo. (2023). Huo, Jiawei. In: Papers. RePEc:arx:papers:2305.09166. Full description at Econpapers || Download paper |
| 2023 | Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects. (2023). Papantonis, Ioannis ; Orestis, Agapitos ; Elias, Tzavalis ; Ioannis, Papantonis ; Leonidas, Rompolis. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:2:p:171-198:n:8. Full description at Econpapers || Download paper |
| 2023 | Systemic risk of optioned portfolio: Controllability and optimization. (2023). Ma, Jiali ; Cui, Xueting ; Zhu, Shushang ; Pang, Xiaochuan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:153:y:2023:i:c:s0165188923001070. Full description at Econpapers || Download paper |
| 2023 | Improving variance forecasts: The role of Realized Variance features. (2023). Papantonis, Ioannis ; Tzavalis, Elias ; Rompolis, Leonidas. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1221-1237. Full description at Econpapers || Download paper |
| 2023 | An analytical GARCH valuation model for spread options with default risk. (2023). Yin, Xunbai ; Xu, Guangli ; Tang, Dan ; Song, Shiyu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:1-20. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Monitoring Value-at-Risk and Expected Shortfall Forecasts. (2023). Demetrescu, Matei ; Hoga, Yannick. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:5:p:2954-2971. Full description at Econpapers || Download paper |
| 2023 | Modeling inflation rate factors on present consumption price index in Ethiopia: threshold autoregressive models approach. (2023). Kebede, Belete ; Temesgen, Aboma ; Abebe, Alebachew. In: Future Business Journal. RePEc:spr:futbus:v:9:y:2023:i:1:d:10.1186_s43093-023-00241-0. Full description at Econpapers || Download paper |
| 2023 | Optimal Liquidation Through a Limit Order Book: A Neural Network and Simulation Approach. (2023). Roch, Alexandre. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:25:y:2023:i:1:d:10.1007_s11009-023-09996-z. Full description at Econpapers || Download paper |
| 2023 | Less disagreement, better forecasts: Adjusted risk measures in the energy futures market. (2023). Xue, Xiaohan ; Gong, Yujing ; Zhang, Ning. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:10:p:1332-1372. Full description at Econpapers || Download paper |
| 2023 | Option pricing with overnight and intraday volatility. (2023). Du, Lingshan ; Liang, Fang ; Huang, Zhuo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:11:p:1576-1614. Full description at Econpapers || Download paper |
Works by Lars Stentoft:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2023 | Unawareness Premia In: Economics Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Option Pricing using Realized Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 30 |
| 2008 | American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 21 |
| 2008 | American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution.(2008) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | article | |
| 2009 | Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 8 |
| 2009 | Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models.(2009) In: CIRANO Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2009 | Bayesian option pricing using mixed normal heteroskedasticity models.(2009) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2014 | Bayesian option pricing using mixed normal heteroskedasticity models.(2014) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
| 2009 | Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models.(2009) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2010 | Multivariate Option Pricing with Time Varying Volatility and Correlations In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 15 |
| 2010 | Multivariate Option Pricing With Time Varying Volatility and Correlations.(2010) In: CIRANO Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
| 2010 | Multivariate option pricing with time varying volatility and correlations.(2010) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
| 2011 | Multivariate option pricing with time varying volatility and correlations.(2011) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | article | |
| 2010 | Multivariate Option Pricing with Time Varying Volatility and Correlations.(2010) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
| 2010 | Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 7 |
| 2010 | Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models.(2010) In: CIRANO Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2010 | Option pricing with asymmetric heteroskedastic normal mixture models.(2010) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2015 | Option pricing with asymmetric heteroskedastic normal mixture models.(2015) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2011 | American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 7 |
| 2011 | American option pricing with discrete and continuous time models: An empirical comparison.(2011) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2011 | What we can learn from pricing 139,879 Individual Stock Options In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
| 2012 | The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 6 |
| 2012 | The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options.(2012) In: CIRANO Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2012 | The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options.(2012) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2014 | The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options.(2014) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2015 | Which pricing approach for options under GARCH with non-normal innovations? In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
| 2017 | Dynamics of Variance Risk Premia, Investors Sentiment and Return Predictability In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Variance swap payoffs, risk premia and extreme market conditions In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 2 |
| 2020 | Variance swap payoffs, risk premia and extreme market conditions.(2020) In: Econometrics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2013 | A theoretical framework for trading experiments In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2012 | A theoretical framework for trading experiments.(2012) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2012 | A theoretical framework for trading experiments.(2012) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2012 | A theoretical framework for trading experiments.(2012) In: Documents de travail du Centre d'Economie de la Sorbonne. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2014 | Measuring Longevity Risk: An Application to the Royal Canadian Mounted Police Pension Plan In: Risk Management and Insurance Review. [Full Text][Citation analysis] | article | 0 |
| 2017 | Yes We Can (Price Derivatives on Survivor Indices) In: Risk Management and Insurance Review. [Full Text][Citation analysis] | article | 0 |
| 2011 | Measuring Longevity Risk for a Canadian Pension Fund In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2012 | If we can simulate it, we can insure it: An application to longevity risk management In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 9 |
| 2013 | If we can simulate it, we can insure it: An application to longevity risk management.(2013) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
| 2020 | Dynamics of variance risk premia: A new model for disentangling the price of risk In: Journal of Econometrics. [Full Text][Citation analysis] | article | 2 |
| 2021 | Option pricing with conditional GARCH models In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 2 |
| 2005 | Pricing American options when the underlying asset follows GARCH processes In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 16 |
| 2023 | Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 0 |
| 2020 | Pricing individual stock options using both stock and market index information In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 0 |
| 2020 | Affine multivariate GARCH models In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 3 |
| 2013 | American option pricing using simulation with an application to the GARCH model In: Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2018 | Stationary Threshold Vector Autoregressive Models In: JRFM. [Full Text][Citation analysis] | article | 3 |
| 2019 | Efficient Numerical Pricing of American Call Options Using Symmetry Arguments In: JRFM. [Full Text][Citation analysis] | article | 2 |
| 2019 | Bootstrapping the Early Exercise Boundary in the Least-Squares Monte Carlo Method In: JRFM. [Full Text][Citation analysis] | article | 1 |
| 2020 | Computational Finance In: JRFM. [Full Text][Citation analysis] | article | 0 |
| 2021 | Efficient Variance Reduction for American Call Options Using Symmetry Arguments In: JRFM. [Full Text][Citation analysis] | article | 0 |
| 2021 | American Option Pricing with Importance Sampling and Shifted Regressions In: JRFM. [Full Text][Citation analysis] | article | 1 |
| 2004 | Convergence of the Least Squares Monte Carlo Approach to American Option Valuation In: Management Science. [Full Text][Citation analysis] | article | 59 |
| 2004 | Assessing the Least Squares Monte-Carlo Approach to American Option Valuation In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 60 |
| 2021 | Regulatory Capital and Incentives for Risk Model Choice under Basel 3* In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 3 |
| 2015 | Les modèles factoriels et la gestion du risque de longévité In: L'Actualité Economique. [Full Text][Citation analysis] | article | 0 |
| 2014 | Refining the least squares Monte Carlo method by imposing structure In: Quantitative Finance. [Full Text][Citation analysis] | article | 6 |
| 2023 | Simulated Greeks for American options In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
| 2021 | Smile?implied hedging with volatility risk In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 0 |
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