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A CIRANO Researcher and Fellow since 2007, Lars Stentoft is Associate Professor in the Department of Economics at the University of Western Ontario. He is also affiliated with Interuniversity Centre on Risk, Economic Policies, and Employment (CIRPÉE), the Center for Research in Econometric Analysis of Time Series (CREATES) and the Danish Center for Accounting and Finance (D-CAF).
Holding a Ph.D. in Economics from Aarhus University, his field of research is concerned with financial econometrics.
He has published in journals such as Management Science, Journal of Empirical Finance, and Review of Derivatives Research.
Pascal Letourneau & Lars Stentoft (2023) - Simulated Greeks for American options
Escobar-Anel, Marcos & Rastegari, Javad & Stentoft, Lars (2021) - Option pricing with conditional GARCH models
Fred Liu & Lars Stentoft (2021) - Regulatory Capital and Incentives for Risk Model Choice under Basel 3
[Procyclical Leverage and Value-at-Risk]
François-Michel Boire & R. Mark Reesor & Lars Stentoft (2021) - Efficient Variance Reduction for American Call Options Using Symmetry Arguments
Pascal François & Lars Stentoft (2021) - Smile‐implied hedging with volatility risk
Francois-Michel Boire & R. Mark Reesor & Lars Stentoft (2021) - American Option Pricing with Importance Sampling and Shifted Regressions
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) - Variance swap payoffs, risk premia and extreme market conditions
Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco (2020) - Dynamics of variance risk premia: A new model for disentangling the price of risk