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ORCIDJustin Lars Kirkby
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2020 – today
- 2024
[j14]H. Chau, Justin Lars Kirkby, D. H. Nguyen, D. Nguyen, N. Nguyen, T. Nguyen:
An efficient method to simulate diffusion bridges. Stat. Comput. 34(4): 131 (2024)- 2023
- [j13]Justin Lars Kirkby
:
Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation. Eur. J. Oper. Res. 305(2): 961-978 (2023) - [j12]Justin Lars Kirkby, Jean-Philippe Aguilar:
The return barrier and return timer option with pricing under Lévy processes. Expert Syst. Appl. 233: 120920 (2023) - 2022
- [j11]Justin 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: 107408 (2022) - 2021
- [j10]Justin 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: 107202 (2021) - [j9]Zhenyu Cui, Justin Lars Kirkby, Duy Nguyen:
A data-driven framework for consistent financial valuation and risk measurement. Eur. J. Oper. Res. 289(1): 381-398 (2021) - [j8]Zhenyu Cui, Justin 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): 1046-1062 (2021) - [i1]Svetlana Boyarchenko, Sergei Levendorskii, Justin Lars Kirkby, Zhenyu Cui:
SINH-acceleration for B-spline projection with Option Pricing Applications. CoRR abs/2109.08738 (2021) - 2020
- [j7]Justin 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: 125472 (2020) - [j6]Justin Lars Kirkby, Sovan Mitra, Duy Nguyen:
An analysis of dollar cost averaging and market timing investment strategies. Eur. J. Oper. Res. 286(3): 1168-1186 (2020)
2010 – 2019
- 2019
- [j5]Zhenyu Cui, Justin Lars Kirkby, Duy Nguyen:
A general framework for time-changed Markov processes and applications. Eur. J. Oper. Res. 273(2): 785-800 (2019) - 2018
- [j4]Zhenyu Cui, Justin Lars Kirkby, Duy Nguyen:
A General Valuation Framework for SABR and Stochastic Local Volatility Models. SIAM J. Financial Math. 9(2): 520-563 (2018) - 2017
- [j3]Zhenyu Cui, Justin 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): 381-400 (2017) - 2016
- [j2]Justin Lars Kirkby:
An Efficient Transform Method for Asian Option Pricing. SIAM J. Financial Math. 7(1): 845-892 (2016) - 2015
- [j1]Justin Lars Kirkby:
Efficient Option Pricing by Frame Duality with the Fast Fourier Transform. SIAM J. Financial Math. 6(1): 713-747 (2015)
Coauthor Index
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