Efficient Option Pricing by Frame Duality with the Fast Fourier Transform. - Justin Lars Kirkby (SIAM J. Financial Math., 2015)

An Efficient Transform Method for Asian Option Pricing. - Justin Lars Kirkby (SIAM J. Financial Math., 2016)

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)

A General Valuation Framework for SABR and Stochastic Local Volatility Models. - Zhenyu Cui; Justin Lars Kirkby; Duy Nguyen (SIAM J. Financial Math., 2018)

A general framework for time-changed Markov processes and applications. - Zhenyu Cui; Justin Lars Kirkby; Duy Nguyen (Eur. J. Oper. Res., 2019)

A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions. - Justin Lars Kirkby; Nguyen Hai Dang 001; Duy Nguyen (Appl. Math. Comput., 2020)

An analysis of dollar cost averaging and market timing investment strategies. - Justin Lars Kirkby; Sovan Mitra; Duy Nguyen (Eur. J. Oper. Res., 2020)

SINH-acceleration for B-spline projection with Option Pricing Applications. - Svetlana Boyarchenko; Sergei Levendorskii; Justin Lars Kirkby; Zhenyu Cui (CoRR, 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)

A data-driven framework for consistent financial valuation and risk measurement. - Zhenyu Cui; Justin Lars Kirkby; Duy Nguyen (Eur. J. Oper. Res., 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)

Maximum likelihood estimation of diffusions by continuous time Markov chain. - Justin Lars Kirkby; Nguyen Hai Dang 001; Duy Nguyen; Nhu N. Nguyen (Comput. Stat. Data Anal., 2022)

Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation. - Justin Lars Kirkby (Eur. J. Oper. Res., 2023)

The return barrier and return timer option with pricing under Lévy processes. - Justin Lars Kirkby; Jean-Philippe Aguilar (Expert Syst. Appl., 2023)

An efficient method to simulate diffusion bridges. - H. Chau; Justin Lars Kirkby; D. H. Nguyen; D. Nguyen; N. Nguyen; T. Nguyen (Stat. Comput., 2024)

Calibration and option pricing with stochastic volatility and double exponential jumps. - Gaetano Agazzotti; Jean-Philippe Aguilar; Claudio Aglieri Rinella; Justin Lars Kirkby (J. Comput. Appl. Math., 2025)