Justin Lars Kirkby
Orcid: 0000-0001-7005-9081
According to our database1,
Justin Lars Kirkby
authored at least 16 papers
between 2015 and 2025.
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Bibliography
2025
Calibration and option pricing with stochastic volatility and double exponential jumps.
J. Comput. Appl. Math., 2025
2024
2023
Expert Syst. Appl., December, 2023
Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation.
Eur. J. Oper. Res., 2023
2022
Comput. Stat. Data Anal., 2022
2021
Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations.
Eur. J. Oper. Res., 2021
Eur. J. Oper. Res., 2021
Nonparametric density estimation and bandwidth selection with B-spline bases: A novel Galerkin method.
Comput. Stat. Data Anal., 2021
CoRR, 2021
2020
Eur. J. Oper. Res., 2020
A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions.
Appl. Math. Comput., 2020
2019
Eur. J. Oper. Res., 2019
2018
SIAM J. Financial Math., 2018
2017
A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps.
Eur. J. Oper. Res., 2017
2016
SIAM J. Financial Math., 2016
2015
SIAM J. Financial Math., 2015