Lars Stentoft

Associate Professor
Joint with the Department of Economics
Office: WSC 278
Phone: 519-661-2111 x85311
Email: lars.stentoft@uwo.ca


 

Research Areas

  • Computational Finance
  • Finance
  • Financial Econometrics
  • Option Pricing
  • Simulation Methods

Graduate Students

  • Xize Ye (PhD)
  • Xiaotian Zhu (PhD)
  • Kiera Sobolewski (MSc)

Research Funding Sources (current)

  • Natural Sciences and Engineering Research Council of Canada (NSERC) Discovery Grant (2020-2025)
  • Canadian Foundation for Innovation (CFI-JELF) Grant (2021-2026)

Publications

  • Boire, F. M., Reesor, M. and L. Stentoft. (2021), ‘Efficient Variance Reduction for American Call Options using Symmetry Arguments’, Journal of Risk and Financial Management, 14(11) #504, 1-21, ().

  • Huddleston, D. Liu, F. and L. Stentoft. (2021), ‘Intraday Market Predictability: A Machine Learning Approach’, Journal of Financial Econometrics, nbab007, ().

  • Francois, P. and L. Stentoft. (2021), ‘Smile-Implied Hedging with Volatility Risk’, Journal of Futures Markets, 41(8), 1220-1240, ().

  • Boire, F. M., Reesor, M. and L. Stentoft. (2021), ‘American Option Pricing with Importance Sampling and Shifted Regressions’, Journal of Risk and Financial Management, 14(8) #340, 1-21, ().

  • Liu, F. and L. Stentoft. (2021), ‘Regulatory Capital and Incentives for Risk Model Choice under Basel 3’, Journal of Financial Econometrics, 19(1), 53-96, ().

  • Escobar, M., Rastegeri, J. and L. Stentoft. (2021), ‘Option Pricing with Conditional GARCH Models’, European Journal of Operational Research, 289(1), 350-363, ().

  • Escobar, M., Rastegeri, J. and L. Stentoft. (2020), ‘Affine Multivariate GARCH Models’, Journal of Banking and Finance 118, #105895, 1-16, ().

  • Rombouts, J., L. Stentoft and F. Violante. (2020), ‘Dynamics of Variance Risk Premia: A New Model for Disentangling the Price of Risk’, Journal of Econometrics, 217(2), 312-334, ().

  • Rombouts, J., L. Stentoft and F. Violante. (2020), ‘Pricing Individual Stock Options using both Stock and Market Index Information’, Journal of Banking and Finance 111, #105727, 1-16, ().

  • Rombouts, J., L. Stentoft and F. Violante. (2020), ‘Variance Swap Payoffs, Risk Premia and Extreme Market Conditions’, Econometrics and Statistics, 13, 106-124, ().

  • Stentoft, L. and S. Wang. (2020), ‘Consistent and Efficient Dynamic Portfolio Replication with Many Factors’, Journal of Portfolio Management, 46 #2, 79-91, ().

  • Létourneau, P. and L. Stentoft. (2019), ‘Bootstrapping the Early Exercise Boundary in the Least-Squares Monte Carlo Method’, Journal of Risk and Financial Management, 12(4) #190, 1-21, ().

  • Stentoft, L. (2019), ‘Efficient Numerical Pricing of American Call Options using Symmetry Arguments’, Journal of Risk and Financial Management, 12(2) #59, 1-26, ().

  • Grynkiv, G. and L. Stentoft. (2018), ‘Stationary Threshold Vector Autoregressive Models’, Journal of Risk and Financial Management, 11(3) #45, 1-23, ().

  • Boyer, M.M. and L. Stentoft. (2017), ‘Yes We Can (Price Derivatives on Survivor Indices)’, Risk Management and Insurance Review, 20(1), 37-62, ().

  • Boyer, M.M., C. Dorion and L. Stentoft. (2015), ‘Les Modèles factoriels et la gestion du risque de longévité’, L’Actualité Économique, 91(4) #6, ().

  • Rombouts, J. and L. Stentoft (2015), ‘Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models’, International Journal of Forecasting, 31(3), 635-650, ().

  • Stentoft, L. (2015), ‘What We Can Learn From Pricing 139,879 Individual Stock Options’, Journal of Derivatives, 22(4), 54-78, ().

  • Stentoft, L. (2014), ‘Value Function Approximation or Stopping Time Approximation: A Comparison of Two Recent Numerical Methods for American Option Pricing using Simulation and Regression’, Journal of Computational Finance, 18(1), 1-56, ().

  • Rombouts, J. and L. Stentoft (2014), ‘Bayesian Option Pricing using Mixed Normal Heteroskedasticity Models’, Computational Statistics & Data Analysis, 76, 588-605, ().

  • Boyer, M.M., J. Mejza and L. Stentoft. (2014), ‘Measuring Longevity Risk: An Application to the Royal Canadian Mounted Police Pension Plan’, Risk Management & Insurance Review, 17(1), 37-59, ().

  • Létourneau, P. and L. Stentoft (2014), ‘Refining the Least Squares Monte Carlo Method by Imposing Structure’, Quantitative Finance, 14(3), 495-507, ().

  • Rombouts, J., L. Stentoft and F. Violante. (2014), ‘The Value of Multivariate Model Sophistication: An Application to Pricing Dow Jones Industrial Average Options’, International Journal of Forecasting, 30, 78-98, ().

  • Denault, M., J.-G. Simonato & L. Stentoft (2013), ‘A Simulation-and-Regression Approach for Stochastic Dynamic Programs with Endogenous State Variable’, Computers & Operations Research 40 (11), 2760-2769, ().

  • Boyer, M.M. and L. Stentoft. (2013), ‘If we can simulate it, we can insure it: An application to longevity risk management’, Insurance: Mathematics and Economics 52 (1), 35-45, ().

  • Boyer, M.M., A. Favaro and L. Stentoft. (2012), ‘Pricing Survivor Forwards and Swaps in Incomplete Markets Using Simulation Techniques’, Longevity Risk Management for Institutional Investors, Fall 2012, 69-87.

  • Stentoft, L. (2011), ‘American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison’, Journal of Empirical Finance 18 (5), 880-902, ().

  • Rombouts, J. and L. Stentoft. (2011), ‘Multivariate Option Pricing with Time Varying Volatility and Correlations’, Journal of Banking and Finance 35, 2267–2281, ().

  • Stentoft, L. (2008), ‘American Option Pricing Using GARCH models and the Normal Inverse Gaussian Distribution’, Journal of Financial Econometrics 6 (4), 540-582, ().

  • Stentoft, L. (2005), ‘Pricing American Options when the Underlying Asset Follows GARCH Processes’, Journal of Empirical Finance 12 (4), 576-611, ().

  • Stentoft, L. (2004), ‘Convergence of the Least Squares Monte Carlo Approach to American Option Valuation’, Management Science 50 (9), 1193-1203, ().

  • Stentoft, L. (2004), ‘Assessing the Least Squares Monte-Carlo Approach to American Option Valuation’, Review of Derivatives Research 7 (3), 129-168, ().

  • Brendstrup, B., S. Hylleberg, M. Nielsen, L. Skipper and L. Stentoft. (2004), ‘Seasonality in Economic Models’, Macroeconomic Dynamics 8 (3), 362-394, ().

Book Chapters

  • Stentoft, L. (2013), ‘American Option Pricing using Simulation with Application to the GARCH Model’, in Handbook of Research Methods and Applications in Empirical Finance, Edited by Adrian R. Bell, Chris Brooks and Marcel Prokopczuk, Chapter 5, 114-147.

  • Stentoft, L. (2012), ‘American Option Pricing using Simulation and Regression: Numerical Convergence Results’, in Topics in Numerical Methods for Finance, Springer Proceedings in Mathematics & Statistics 19, Edited by M. Cummins, F. Murphy and J.J.H. Miller, 57-94.