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Search: person:"Kirkby, J. Lars"
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14
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Kirkby, J. Lars
17
Nguyen, Duy
10
Cui, Zhenyu
7
Aguilar, Jean-Philippe
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European journal of operational research : EJOR
5
The journal of computational finance
3
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ECONIS (ZBW)
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1
Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
Kirkby, J. Lars
;
Aguilar, Jean-Philippe
- In:
Scandinavian actuarial journal
2023
(
2023
)
6
,
pp. 624-654
Persistent link: https://www.econbiz.de/10014383864
Saved in:
2
Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation
Kirkby, J. Lars
- In:
European journal of operational research : EJOR
305
(
2023
)
2
,
pp. 961-978
Persistent link: https://www.econbiz.de/10013482166
Saved in:
3
Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging
Kirkby, J. Lars
;
Nguyen, Duy
- In:
Insurance / Mathematics & economics
100
(
2021
),
pp. 408-428
Persistent link: https://www.econbiz.de/10012622402
Saved in:
4
Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
290
(
2021
)
3
,
pp. 1046-1062
Persistent link: https://www.econbiz.de/10012495249
Saved in:
5
The CTMC–Heston model : calibration and exotic option pricing with SWIFT
Leitao, Álvaro
;
Kirkby, J. Lars
;
Ortiz-Garcia, Luis
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 71-114
Persistent link: https://www.econbiz.de/10012544164
Saved in:
6
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
Kirkby, J. Lars
;
Nguyen, Duy
- In:
Annals of finance
16
(
2020
)
3
,
pp. 307-351
Persistent link: https://www.econbiz.de/10012496337
Saved in:
7
An analysis of dollar cost averaging and market timing investment strategies
Kirkby, J. Lars
;
Mitra, Sovan
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
286
(
2020
)
3
,
pp. 1168-1186
Persistent link: https://www.econbiz.de/10012291635
Saved in:
8
A general framework for time-changed Markov processes and applications
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
273
(
2019
)
2
,
pp. 785-800
Persistent link: https://www.econbiz.de/10011987591
Saved in:
9
Swing option pricing by dynamic programming with B-spline density projection
Kirkby, J. Lars
;
Deng, Shijie
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-53
Persistent link: https://www.econbiz.de/10012183215
Saved in:
10
Full‐fledged SABR Through Markov Chains
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
Wilmott
2019
(
2019
)
102
,
pp. 74-81
Persistent link: https://www.econbiz.de/10012274275
Saved in:
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