J. Lars Kirkby

Publication Activity (10 Years)

Years Active: 2015-2023
Publications (10 Years): 12

Top Topics

Black Scholes Model

Monte Carlo Method

Top Venues

Eur. J. Oper. Res.

SIAM J. Financial Math.

Comput. Stat. Data Anal.

Publications

J. Lars Kirkby
Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation. Eur. J. Oper. Res. 305 (2) (2023)
J. Lars Kirkby, Nguyen Hai Dang, Duy Nguyen, Nhu N. Nguyen
Maximum likelihood estimation of diffusions by continuous time Markov chain. Comput. Stat. Data Anal. 168 (2022)
J. Lars Kirkby, Álvaro Leitao, Duy Nguyen
Nonparametric density estimation and bandwidth selection with B-spline bases: A novel Galerkin method. Comput. Stat. Data Anal. 159 (2021)
Zhenyu Cui, J. Lars Kirkby, Duy Nguyen
A data-driven framework for consistent financial valuation and risk measurement. Eur. J. Oper. Res. 289 (1) (2021)
Svetlana Boyarchenko, Sergei Levendorskii, J. Lars Kirkby, Zhenyu Cui
SINH-acceleration for B-spline projection with Option Pricing Applications. CoRR (2021)
Zhenyu Cui, J. Lars Kirkby, Duy Nguyen
Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations. Eur. J. Oper. Res. 290 (3) (2021)
J. Lars Kirkby, Sovan Mitra, Duy Nguyen
An analysis of dollar cost averaging and market timing investment strategies. Eur. J. Oper. Res. 286 (3) (2020)
J. Lars Kirkby, Nguyen Hai Dang, Duy Nguyen
A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions. Appl. Math. Comput. 386 (2020)
Zhenyu Cui, J. Lars Kirkby, Duy Nguyen
A general framework for time-changed Markov processes and applications. Eur. J. Oper. Res. 273 (2) (2019)
Zhenyu Cui, J. Lars Kirkby, Duy Nguyen
A General Valuation Framework for SABR and Stochastic Local Volatility Models. SIAM J. Financial Math. 9 (2) (2018)
Zhenyu Cui, J. Lars Kirkby, Duy Nguyen
A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps. Eur. J. Oper. Res. 262 (1) (2017)
J. Lars Kirkby
An Efficient Transform Method for Asian Option Pricing. SIAM J. Financial Math. 7 (1) (2016)
J. Lars Kirkby
Efficient Option Pricing by Frame Duality with the Fast Fourier Transform. SIAM J. Financial Math. 6 (1) (2015)