Justin Lars Kirkby

Justin Lars Kirkby

Georgia Institute of Technology - Atlanta / United States
Economics & Econometrics / Accounting & Finance
AD Scientific Index ID: 1415655
person_outline Justin Lars Kirkby's MOST POPULAR ARTICLES
1-) A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumpsZ Cui, JL Kirkby, D NguyenEuropean Journal of Operational Research 262 (1), 381-400, 2017822017
2-) A general valuation framework for SABR and stochastic local volatility modelsZ Cui, JL Kirkby, D NguyenSIAM Journal on Financial Mathematics 9 (2), 520-563, 2018832018
3-) Efficient option pricing by frame duality with the fast Fourier transformJL KirkbySIAM Journal on Financial Mathematics 6 (1), 713-747, 2015822015
4-) A unified approach to Bermudan and barrier options under stochastic volatility models with jumpsJL Kirkby, D Nguyen, Z CuiJournal of Economic Dynamics and Control 80, 75-100, 2017802017
5-) Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumpsZ Cui, JL Kirkby, D NguyenInsurance: Mathematics and Economics 74, 46-62, 2017772017