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  1. À propos
  2. Bottin CIRANO
  3. Lars Stentoft
lars.stentoft@cirano.qc.ca
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Expertise

Finance, économétrie financière, finance computationnelle, économétrie

Biographie

Lars Stentoft est professeur agrégé au Département de sciences économiques de l'University of Western Ontario. Il a obtenu son doctorat en économie de Aarhus University en 2004. Le domaine de recherche de Stentoft porte sur l'économétrie financière. Il a publié dans des revues telles que Management Science, Journal of Empirical Finance et Review of Derivatives Research.
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Publications CIRANO de Lars Stentoft

En tant qu'auteur

1 à 5 de 6 résultats
CS

If we can simulate it, we can insure it: An application to longevity risk management

M. Martin Boyer et Lars Stentoft

Gestion des risques
CS

The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options

Jeroen Rombouts, Lars Stentoft et Francesco Violente

Innovation et Simulation
CS

Measuring Longevity Risk for a Canadian Pension Fund

M. Martin Boyer, Joanna Mejza et Lars Stentoft

Marché du travail et Pensions
CS

Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models

Jeroen Rombouts et Lars Stentoft

Simulation
CS

Multivariate Option Pricing With Time Varying Volatility and Correlations

Jeroen Rombouts et Lars Stentoft

Simulation

If we can simulate it, we can insure it: An application to longevity risk management

The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options

Measuring Longevity Risk for a Canadian Pension Fund

Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models

Multivariate Option Pricing With Time Varying Volatility and Correlations

Afficher plus de publications

Publications externes

Publications IDEAS/RePEc

Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco (2020) - Variance swap payoffs, risk premia and extreme market conditions

Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco (2020) - Pricing individual stock options using both stock and market index information

Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco (2020) - Dynamics of variance risk premia: A new model for disentangling the price of risk

Pascal Létourneau & Lars Stentoft (2019) - Bootstrapping the Early Exercise Boundary in the Least-Squares Monte Carlo Method

Lars Stentoft (2019) - Efficient Numerical Pricing of American Call Options Using Symmetry Arguments

Galyna Grynkiv & Lars Stentoft (2018) - Stationary Threshold Vector Autoregressive Models

Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante (2017) - Variance swap payoffs, risk premia and extreme market conditions

Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante (2017) - Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictability

M. Martin Boyer & Lars Stentoft (2017) - Yes We Can (Price Derivatives on Survivor Indices)

Jean-Guy Simonato & Lars Stentoft (2015) - Which pricing approach for options under GARCH with non-normal innovations?

Toutes les publications IDEAS/REPEC

Événements

En tant que conférencier

18 octobre 2019

Activité externe : 36e Réunion du Groupe d'étude économétrique canadien

Tous les événements
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