8
H index
6
i10 index
253
Citations
Lars Stentoft : Citation Profile
University of Western Ontario (34% share) | RESEARCH PRODUCTION: 27 Articles 27 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
17 years (2004 - 2021). 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:
|
Main data
Where Lars Stentoft has published?
| Journals with more than one article published | # docs |
|---|---|
| JRFM | 6 |
| Journal of Banking & Finance | 3 |
| Risk Management and Insurance Review | 2 |
| Journal of Empirical Finance | 2 |
| The Journal of Financial Econometrics | 2 |
| International Journal of Forecasting | 2 |
Recent works citing Lars Stentoft (2022 and 2021)
| Year | Title of citing document |
|---|---|
| 2022 | Securities Lending Strategies: Valuation of Term Loans using Option Theory. (2018). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1609.01274. Full description at Econpapers || Download paper |
| 2021 | Least Squares Monte Carlo applied to Dynamic Monetary Utility Functions. (2021). Engsner, Hampus. In: Papers. RePEc:arx:papers:2101.10947. Full description at Econpapers || Download paper |
| 2021 | A Numerical Approach to Pricing Exchange Options under Stochastic Volatility and Jump-Diffusion Dynamics. (2021). , Gerald ; Dominic, Len Patrick. In: Papers. RePEc:arx:papers:2106.07362. Full description at Econpapers || Download paper |
| 2021 | Closed-form portfolio optimization under GARCH models. (2021). Zagst, Rudi ; Gollart, Maximilian ; Escobar-Anel, Marcos. In: Papers. RePEc:arx:papers:2109.00433. Full description at Econpapers || Download paper |
| 2022 | 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 |
| 2022 | Evaluating conditional covariance estimates via a new targeting approach and a networks-based analysis. (2022). Drago, Carlo ; Scozzari, Andrea. In: Papers. RePEc:arx:papers:2202.02197. 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 |
| 2022 | Systemic Risk of Optioned Portfolios: Controllability and Optimization. (2022). Ma, Jiali ; Cui, Xueting ; Zhu, Shushang ; Pang, Xiaochuan. In: Papers. RePEc:arx:papers:2209.04685. Full description at Econpapers || Download paper |
| 2022 | Deep learning and American options via free boundary framework. (2022). Dai, Weizhong ; Ware, Tony ; Umeorah, Nneka ; Nwankwo, Chinonso. In: Papers. RePEc:arx:papers:2211.11803. Full description at Econpapers || Download paper |
| 2021 | Simulating risk measures via asymptotic expansions for relative errors. (2021). Kou, Steven ; Jiang, Wei. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:3:p:907-942. Full description at Econpapers || Download paper |
| 2021 | Valuing Real Options in the Volatile Real World. (2021). Wang, Tianyang ; Dyer, James S ; Harikae, Seiji. In: Production and Operations Management. RePEc:bla:popmgt:v:30:y:2021:i:1:p:171-189. Full description at Econpapers || Download paper |
| 2022 | Pricing American options with stochastic volatility and small nonlinear price impact: A PDE approach. (2022). Yang, Ben-Zhang ; Hu, Zhihao ; Lin, Sha. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:163:y:2022:i:c:s0960077922007718. Full description at Econpapers || Download paper |
| 2021 | The continuous-time limit of score-driven volatility models. (2021). Livieri, Giulia ; Flandoli, Franco ; Corsi, Fulvio ; Buccheri, Giuseppe. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:655-675. Full description at Econpapers || Download paper |
| 2021 | Optimal decision policy for real options under general Markovian dynamics. (2021). Sainz, Felipe ; Naranjo, Lorenzo ; Cortazar, Gonzalo. In: European Journal of Operational Research. RePEc:eee:ejores:v:288:y:2021:i:2:p:634-647. Full description at Econpapers || Download paper |
| 2021 | Pricing longevity derivatives via Fourier transforms. (2021). Vidal, Joo Pedro ; Bravo, Jorge M. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:81-97. Full description at Econpapers || Download paper |
| 2021 | Multivariate volatility forecasts for stock market indices. (2021). Croux, Christophe ; Rombouts, Jeroen ; Wilms, Ines. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:484-499. Full description at Econpapers || Download paper |
| 2022 | GAS and GARCH based value-at-risk modeling of precious metals. (2022). Tiwari, Aviral ; Owusu Junior, Peterson ; Asafo-Adjei, Emmanuel ; Tweneboah, George. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721004645. Full description at Econpapers || Download paper |
| 2021 | Monotonicity theorem for the uncertain fractional differential equation and application to uncertain financial market. (2021). Yang, Xiangfeng ; Jin, Ting. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:190:y:2021:i:c:p:203-221. Full description at Econpapers || Download paper |
| 2022 | Closed-form portfolio optimization under GARCH models. (2022). Zagst, Rudi ; Gollart, Maximilian ; Escobar-Anel, Marcos. In: Operations Research Perspectives. RePEc:eee:oprepe:v:9:y:2022:i:c:s2214716021000300. Full description at Econpapers || Download paper |
| 2021 | The numerical simulation of Quanto option prices using Bayesian statistical methods. (2021). Wu, Jianhong ; Gao, Rui ; Li, Yaqiong ; Lin, Lisha. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:567:y:2021:i:c:s0378437120309274. Full description at Econpapers || Download paper |
| 2021 | A Finite Mixture GARCH Approach with EM Algorithm for Energy Forecasting Applications. (2021). Qu, Xiuli ; Peng, Yidong ; Zhang, Yang ; Erdem, Ergin ; Shi, Jing. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:9:p:2352-:d:540432. Full description at Econpapers || Download paper |
| 2021 | Univariate and Multivariate GARCH Models Applied to Bitcoin Futures Option Pricing. (2021). Mare, Eben ; Venter, Pierre J. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:6:p:261-:d:572373. Full description at Econpapers || Download paper |
| 2021 | . Full description at Econpapers || Download paper |
| 2021 | Modeling the Future Value Distribution of a Life Insurance Portfolio. (2021). Viviano, Fabio ; Costabile, Massimo. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:10:p:177-:d:648693. Full description at Econpapers || Download paper |
| 2021 | Carry Trade Returns and Segmented Risk Pricing. (2021). Schulze, Gordon. In: Atlantic Economic Journal. RePEc:kap:atlecj:v:49:y:2021:i:1:d:10.1007_s11293-021-09698-2. Full description at Econpapers || Download paper |
| 2021 | Exploring Option Pricing and Hedging via Volatility Asymmetry. (2021). Veiga, Helena ; Casas, Isabel. In: Computational Economics. RePEc:kap:compec:v:57:y:2021:i:4:d:10.1007_s10614-020-10005-5. Full description at Econpapers || Download paper |
| 2021 | A Markov Decision Process Model for Optimal Trade of Options Using Statistical Data. (2021). Mustafa, Faisal ; Ali, Kazim ; Khursheed, Ambreen ; Nasir, Ali. In: Computational Economics. RePEc:kap:compec:v:58:y:2021:i:2:d:10.1007_s10614-020-10030-4. Full description at Econpapers || Download paper |
| 2021 | Option pricing under stock market cycles with jump risks: evidence from the S&P 500 index. (2021). Shyu, So-De ; Wang, Shin-Yun ; Lin, Shih-Kuei ; Chuang, Ming-Che. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:56:y:2021:i:1:d:10.1007_s11156-020-00885-x. Full description at Econpapers || Download paper |
| 2022 | CaninformationonthedistributionofZARreturnsbeusedtoimproveSARBsZARforecasts. (2022). van Jaarsveld, Rossouw ; Steenkamp, Daan ; Greenwood-Nimmo, Matthew. In: Working Papers. RePEc:rbz:wpaper:11035. Full description at Econpapers || Download paper |
| 2022 | Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory. (2022). Kashyap, Ravi. In: Annals of Operations Research. RePEc:spr:annopr:v:315:y:2022:i:2:d:10.1007_s10479-022-04610-w. Full description at Econpapers || Download paper |
| 2022 | ARMA–GARCH model with fractional generalized hyperbolic innovations. (2022). Ik, Sung. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00349-2. Full description at Econpapers || Download paper |
| 2022 | A least-squares Monte Carlo approach to the estimation of enterprise risk. (2022). Bauer, Daniel ; Ha, Hongjun. In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:3:d:10.1007_s00780-022-00478-7. Full description at Econpapers || Download paper |
| 2021 | VIX futures and its closed?form pricing through an affine GARCH model with realized variance. (2021). Wang, Zerong. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:1:p:135-156. Full description at Econpapers || Download paper |
| 2022 | Forecasting variance swap payoffs. (2022). van der Heijden, Thijs ; Nardari, Federico ; Dark, Jonathan ; Gao, Xin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:12:p:2135-2164. Full description at Econpapers || Download paper |
| 2022 | Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets. (2022). Wu, Jianbin ; Sercu, Piet ; Dhaene, Geert. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:5:p:868-887. Full description at Econpapers || Download paper |
Works by Lars Stentoft:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2008 | Option Pricing using Realized Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 29 |
| 2008 | American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 19 |
| 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 another version. Agregated cites: 19 | 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 another 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 another 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 another 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 another version. Agregated cites: 8 | paper | |
| 2010 | Multivariate Option Pricing with Time Varying Volatility and Correlations In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 13 |
| 2010 | Multivariate Option Pricing With Time Varying Volatility and Correlations.(2010) In: CIRANO Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
| 2010 | Multivariate option pricing with time varying volatility and correlations.(2010) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
| 2011 | Multivariate option pricing with time varying volatility and correlations.(2011) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | article | |
| 2010 | Multivariate Option Pricing with Time Varying Volatility and Correlations.(2010) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | 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 another 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 another 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 another 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 another 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 | 5 |
| 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 another version. Agregated cites: 5 | 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 another version. Agregated cites: 5 | 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 another version. Agregated cites: 5 | 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 another 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 another version. Agregated cites: 0 | paper | |
| 2012 | A theoretical framework for trading experiments.(2012) In: Post-Print. [Full Text][Citation analysis] This paper has another 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 another 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 another 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 |
| 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 | 2 |
| 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 | 2 |
| 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 | 58 |
| 2004 | Assessing the Least Squares Monte-Carlo Approach to American Option Valuation In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 57 |
| 2021 | Regulatory Capital and Incentives for Risk Model Choice under Basel 3* In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 1 |
| 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 |
| 2021 | Smile?implied hedging with volatility risk In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2023. Contact: CitEc Team