Justin Lars Kirkby

17 papers Journal 17
YearRankTypeTitle / Venue / Authors
2025 J jnl
Calibration and option pricing with stochastic volatility and double exponential jumps.
J. Comput. Appl. Math.
Gaetano Agazzotti, Jean-Philippe Aguilar, Claudio Aglieri Rinella, Justin Lars Kirkby
2025 J jnl
pymle: A
J. Stat. Softw.
Justin Lars Kirkby, Dang Hai Nguyen, Duy Nguyen, Nhu Nguyen
2024 J jnl
An efficient method to simulate diffusion bridges.
Stat. Comput.
H. Chau, Justin Lars Kirkby, D. H. Nguyen, D. Nguyen, N. Nguyen, T. Nguyen
2023 J jnl
Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation.
Eur. J. Oper. Res.
Justin Lars Kirkby
2023 J jnl
The return barrier and return timer option with pricing under Lévy processes.
Expert Syst. Appl.
Justin Lars Kirkby, Jean-Philippe Aguilar
2022 J jnl
Maximum likelihood estimation of diffusions by continuous time Markov chain.
Comput. Stat. Data Anal.
Justin Lars Kirkby, Nguyen Hai Dang, Duy Nguyen, Nhu N. Nguyen
2021 J jnl
A data-driven framework for consistent financial valuation and risk measurement.
Eur. J. Oper. Res.
Zhenyu Cui, Justin Lars Kirkby, Duy Nguyen
2021 J jnl
Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations.
Eur. J. Oper. Res.
Zhenyu Cui, Justin Lars Kirkby, Duy Nguyen
2021 J jnl
Nonparametric density estimation and bandwidth selection with B-spline bases: A novel Galerkin method.
Comput. Stat. Data Anal.
Justin Lars Kirkby, Álvaro Leitao, Duy Nguyen
2021 J jnl
SINH-acceleration for B-spline projection with Option Pricing Applications.
CoRR
Svetlana Boyarchenko, Sergei Levendorskii, Justin Lars Kirkby, Zhenyu Cui
2020 J jnl
A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions.
Appl. Math. Comput.
Justin Lars Kirkby, Nguyen Hai Dang, Duy Nguyen
2020 J jnl
An analysis of dollar cost averaging and market timing investment strategies.
Eur. J. Oper. Res.
Justin Lars Kirkby, Sovan Mitra, Duy Nguyen
2019 J jnl
A general framework for time-changed Markov processes and applications.
Eur. J. Oper. Res.
Zhenyu Cui, Justin Lars Kirkby, Duy Nguyen
2018 J jnl
A General Valuation Framework for SABR and Stochastic Local Volatility Models.
SIAM J. Financial Math.
Zhenyu Cui, Justin Lars Kirkby, Duy Nguyen
2017 J jnl
A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps.
Eur. J. Oper. Res.
Zhenyu Cui, Justin Lars Kirkby, Duy Nguyen
2016 J jnl
An Efficient Transform Method for Asian Option Pricing.
SIAM J. Financial Math.
Justin Lars Kirkby
2015 J jnl
Efficient Option Pricing by Frame Duality with the Fast Fourier Transform.
SIAM J. Financial Math.
Justin Lars Kirkby