Justin Lars Kirkby

According to our database, Justin Lars Kirkby authored at least 14 papers between 2015 and 2023.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2023

The return barrier and return timer option with pricing under Lévy processes.

Justin Lars Kirkby, Jean-Philippe Aguilar

Expert Syst. Appl., December, 2023

Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation.

Justin Lars Kirkby

Eur. J. Oper. Res., 2023

2022

Maximum likelihood estimation of diffusions by continuous time Markov chain.

Justin Lars Kirkby, Nguyen Hai Dang, Duy Nguyen, Nhu N. Nguyen

Comput. Stat. Data Anal., 2022

2021

Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations.

Zhenyu Cui, Justin Lars Kirkby, Duy Nguyen

Eur. J. Oper. Res., 2021

A data-driven framework for consistent financial valuation and risk measurement.

Zhenyu Cui, Justin Lars Kirkby, Duy Nguyen

Eur. J. Oper. Res., 2021

Nonparametric density estimation and bandwidth selection with B-spline bases: A novel Galerkin method.

Justin Lars Kirkby, Álvaro Leitao, Duy Nguyen

Comput. Stat. Data Anal., 2021

SINH-acceleration for B-spline projection with Option Pricing Applications.

Svetlana Boyarchenko, Sergei Levendorskii, Justin Lars Kirkby, Zhenyu Cui

CoRR, 2021

2020

An analysis of dollar cost averaging and market timing investment strategies.

Justin Lars Kirkby, Sovan Mitra, Duy Nguyen

Eur. J. Oper. Res., 2020

A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions.

Justin Lars Kirkby, Nguyen Hai Dang, Duy Nguyen

Appl. Math. Comput., 2020

2019

A general framework for time-changed Markov processes and applications.

Zhenyu Cui, Justin Lars Kirkby, Duy Nguyen

Eur. J. Oper. Res., 2019

2018

A General Valuation Framework for SABR and Stochastic Local Volatility Models.

Zhenyu Cui, Justin Lars Kirkby, Duy Nguyen

SIAM J. Financial Math., 2018

2017

A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps.

Zhenyu Cui, Justin Lars Kirkby, Duy Nguyen

Eur. J. Oper. Res., 2017

2016

An Efficient Transform Method for Asian Option Pricing.

Justin Lars Kirkby

SIAM J. Financial Math., 2016

2015

Efficient Option Pricing by Frame Duality with the Fast Fourier Transform.

Justin Lars Kirkby

SIAM J. Financial Math., 2015