Member's Details
Fellows
Email
lars.stentoft@cirano.qc.ca
University
University of Western Ontario
519 661-2111 p85311
519 661-3666
Function(s)
Ph.D., Economics, Aarhus University (Denmark)
Associate Professor
Department of Economics, Social Science Centre
University of Western Ontario
Holder of the Canada Research Chair in Financial Econometrics
Domain(s) of interest
Finance, Financial Econometrics, Computational Finance, Econometrics
Biography
Lars Stentoft is Associate Professor at the Department of Economics, University of Western Ontario. He earned his Ph.D. degree in economics from Aarhus University in 2004. Stentoft’s field of research is concerned with financial econometrics where he has published in journals such as Management...

List of scientific publications at CIRANO by Lars Stentoft

Code Publications
2012s-08 WP M. Martin Boyer et Lars Peter Stentoft. If we can simulate it, we can insure it: An application to longevity risk management
2012s-05 WP Jeroen Rombouts, Lars Peter Stentoft et Francesco Violente. The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options
2011s-43 WP M. Martin Boyer, Joanna Mejza et Lars Peter Stentoft. Measuring Longevity Risk for a Canadian Pension Fund
2010s-38 WP Jeroen Rombouts et Lars Peter Stentoft. Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models
2010s-23 WP Jeroen Rombouts et Lars Peter Stentoft. Multivariate Option Pricing With Time Varying Volatility and Correlations
2009s-19 WP Jeroen Rombouts et Lars Peter Stentoft. Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models

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