Justin Lars Kirkby
Georgia Institute of Technology
H-index: 18
North America-United States
Top articles of Justin Lars Kirkby
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
ON THE INVERSION-FREE NEWTON’S METHOD AND ITS APPLICATIONS | International Statistical Review | H Chau J Kirkby D Nguyen D Nguyen N Nguyen | 2024 |
Forecasting Bid-Ask Spreads in Foreign Exchange: Analysis and Machine Learning Prediction | Available at SSRN | Justin Kirkby Victor Andrean | 2024 |
The Return Barrier and Return Timer Option with Pricing under Lévy Processes | Expert Systems with Applications | Justin Kirkby Jean-Philippe Aguilar | 2023 |
A Note on Variance Swap Greeks | The Journal of Derivatives | Justin Kirkby Nathaniel Rupprecht Jean-Philippe Aguilar | 2023/11/21 |
On Swing Option Pricing Under Levy Process Dynamics | Available at SSRN 4459707 | Justin Kirkby Shijie Deng | 2023/5/26 |
Hybrid Equity Swap, Cap, and Floor Pricing Under Stochastic Interest by Markov Chain Approximation | European Journal of Operational Research | J Lars Kirkby | 2023/3/1 |
Spline local basis methods for nonparametric density estimation | Statistics Surveys | J Lars Kirkby Álvaro Leitao Duy Nguyen | 2023 |
Model01: The Dollar Value of a Normalized, Unit Model Change via Information-Geometry | The Journal of Derivatives | Damian F Abasto David H Annis Mark P Kust Andrey Itkin Dmitry Muravey | 2023/12/6 |
Robust and nearly exact option pricing with bilateral gamma processes | The Journal of Derivatives | Jean-Philippe Aguilar Justin Kirkby | 2022/4/3 |
Closed-form option pricing for exponential Lévy models: a residue approach | Quantitative Finance | Jean-Philippe Aguilar Justin Kirkby | 2022/12/15 |
Maximum Likelihood Estimation of Diffusions by Continuous Time Markov Chain | Computational Statistics and Data Analysis | J LARS Kirkby Dang Nguyen Duy Nguyen Nhu Nguyen | 2022/4 |
Valuation and Optimal Surrender of Variable Annuities with Guaranteed Minimum Benefits and Periodic Fees | Scandinavian Actuarial Journal | Justin Kirkby Jean-Philippe Aguilar | 2022 |
Inversion-free subsampling Newton’s method for large sample logistic regression | Statistical Papers | J Lars Kirkby Dang H Nguyen Duy Nguyen Nhu N Nguyen | 2022/6/1 |
SINH-acceleration for B-spline projection with Option Pricing Applications | International Journal of Theoretical and Applied Finance | Svetlana Boyarchenko Sergei Levendorskiĭ J Lars Kyrkby Zhenyu Cui | 2021/12/7 |
Hybrid equity swap and cap pricing under stochastic interest by Markov chain approximation | Available at SSRN 3901509 | Justin Kirkby | 2022/5/21 |
Efficient simulation of generalized SABR and stochastic local volatility models based on markov chain approximations | European Journal of Operational Research | Zhenyu Cui J Lars Kirkby Duy Nguyen | 2021/5/1 |
A Closed-Form Model-Free Implied Volatility Formula through Delta Families | Journal of Derivatives, forthcoming | Zhenyu Cui Justin Kirkby Duy Nguyen Stephen Michael Taylor | 2020/7/23 |
Equity-linked guaranteed minimum death benefits with dollar cost averaging | Insurance: Mathematics and Economics | J Lars Kirkby Duy Nguyen | 2021/9/1 |
A data-driven framework for consistent financial valuation and risk measurement | European Journal of Operational Research | Zhenyu Cui J Lars Kirkby Duy Nguyen | 2021/2/16 |
A Novel Sampling Method based on Orthogonal Polynomial Expansions and Applications | Available at SSRN 3862760 | Zhenyu Cui Justin Kirkby Duy Nguyen Stephen Michael Taylor | 2021/6/8 |
Co-Authors
