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Lars Stentoft

statistical and actuarial sciences note: this appears to be a department-level name with no higher institution provided. since no parent institution is mentioned, i have kept the given name as is according to rule 1.

15H指数
105论文数
1.0K被引数
收录论文 15
发表时间
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Behavioral portfolio decisions in a GARCH world在GARCH世界中的行为投资组合决策
errFinancial Innovation
IF7.2
err2026-05-22
err0
errOAAI
errNando Ehler; Marcos Escobar-Anel; Lars Stentoft; Rudi Zagst
err分享
err收藏
A mean reverting affine GARCH model for commodities商品市场的均值反转仿射GARCH模型
errEnergy Economics
IF14.2
err2025-12-04
err0
PREAI
errMarcos Escobar-Anel; Kaize Pan; Lars Stentoft
err分享
err收藏
Analytical fixed income pricing in discrete time: A new family of models离散时间下的固定收益定价分析：一个新模型家族
errGlobal Finance Journal
IF5.5
err2025-08-31
err0
PREAI
errMarcos Escobar-Anel; Lars Stentoft; Xize Ye
err分享
err收藏
The shifted GARCH model with affine variance: Applications in pricing
errFINANCE RESEARCH LETTERS
IF6.9
err2025-01-01
err0
errOAAI
errEscobar-Anel, Marcos; Hou, Yangyang; Stentoft, Lars
err分享
err收藏
Not all VIXs are (Informationally) equal: Evidence from affine GARCH option pricing models
errFINANCE RESEARCH LETTERS
IF6.9
err2024-11-01
err0
errOAAI
errEscobar-Anel, Marcos; Stentoft, Lars; Ye, Xize
err分享
err收藏
A critical analysis of the Weighted Least Squares Monte Carlo method for pricing American options
errFINANCE RESEARCH LETTERS
IF6.9
err2024-06-01
err0
errOAAI
errReesor, R. Mark; Stentoft, Lars; Zhu, Xiaotian
err分享
err收藏
Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing
errINTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
IF9.8
err2023-05-01
err1
PREAI
errEscobar-Anel, Marcos; Rastegari, Javad; Stentoft, Lars
err分享
err收藏
Option pricing with conditional GARCH models
errEUROPEAN JOURNAL OF OPERATIONAL RESEARCH
IF6
err2021-02-01
err14
PREAI
errEscobar-Anel, Marcos; Rastegari, Javad; Stentoft, Lars
err分享
err收藏
Affine multivariate GARCH models
errJOURNAL OF BANKING & FINANCE
IF3.8
err2020-09-01
err8
PREAI
errEscobar-Anel, Marcos; Rastegari, Javad; Stentoft, Lars
err分享
err收藏
Dynamics of variance risk premia: A new model for disentangling the price of risk
errJOURNAL OF ECONOMETRICS
IF4
err2020-08-01
err3
errOAAI
errRombouts, Jeroen V. K.; Stentoft, Lars; Violante, Francesco
err分享
err收藏
Pricing individual stock options using both stock and market index information
errJOURNAL OF BANKING & FINANCE
IF3.8
err2020-02-01
err4
PREAI
errRombouts, Jeroen V. K.; Stentoft, Lars; Violante, Francesco
err分享
err收藏
Option pricing with asymmetric heteroskedastic normal mixture models
errINTERNATIONAL JOURNAL OF FORECASTING
IF7.1
err2015-07-01
err7
errOAAI
errRombouts, Jeroen V. K.; Stentoft, Lars
err分享
err收藏
The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options
errINTERNATIONAL JOURNAL OF FORECASTING
IF7.1
err2014-01-01
err10
errOAAI
errRombouts, Jeroen; Stentoft, Lars; Violante, Franceso
err分享
err收藏
A simulation-and-regression approach for stochastic dynamic programs with endogenous state variables
errCOMPUTERS & OPERATIONS RESEARCH
IF4.3
err2013-11-01
err19
PREAI
errDenault, Michel; Simonato, Jean-Guy; Stentoft, Lars
err分享
err收藏
Multivariate option pricing with time varying volatility and correlations
errJOURNAL OF BANKING & FINANCE
IF3.8
err2011-09-01
err28
errOAAI
errRombouts, Jeroen V. K.; Stentoft, Lars
err分享
err收藏

研究方向

暂时未获取到该数据
合作学者
合作期刊
X
Xiaotian Zhu
H 指数: 25 · 论文数: 73
J
Jeroen V.K. Rombouts
H 指数: 21 · 论文数: 120
J
Jean‐Guy Simonato
H 指数: 20 · 论文数: 75
R
Rudi Zagst
H 指数: 16 · 论文数: 195
M
Marcos Escobar‐Anel
H 指数: 11 · 论文数: 94
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