Justin Lars Kirkby
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List of research outcomes
This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!
| Publication | Date of Publication | Type |
|---|---|---|
| Moments of Student's t-distribution: a unified approach Modern Stochastics. Theory and Applications | 2025-10-29 | Paper |
| Calibration and option pricing with stochastic volatility and double exponential jumps Journal of Computational and Applied Mathematics | 2025-03-21 | Paper |
| The bilateral Gamma motion: calibration and option pricing Frontiers of Mathematical Finance | 2024-11-26 | Paper |
| An efficient method to simulate diffusion bridges Statistics and Computing | 2024-07-31 | Paper |
| Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees Scandinavian Actuarial Journal | 2023-07-12 | Paper |
| Closed-form option pricing for exponential Lévy models: a residue approach Quantitative Finance | 2023-06-20 | Paper |
| Maximum Likelihood Estimation of Diffusions by Continuous Time Markov Chain (available as arXiv preprint) | 2021-08-28 | Paper |
| Static hedging and pricing of exotic options with payoff frames Mathematical Finance | 2019-05-23 | Paper |
Research outcomes over time
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