Lars Stentoft

Associate Professor / Joint with the Department of Statistical and Actuarial Sciences
Canada Research Chair in Financial Econometrics 2014 to 2018
Ph.D. University of Aarhus, Denmark, 2004

Lars Stentoft

Office: SSC 4029
Telephone: 519-661-2111 Ext. 85311
Fax: 519-661-3666

Curriculum Vitae
Personal Website

Research Interests

Finance; Financial Econometrics; Computational Finance; Econometrics

Teaching Fields

Time Series Econometrics

Representative Publications

Rombouts, J. & L. Stentoft, "Bayesian Option Pricing using Mixed Normal Heteroskedasticity Models," forthcoming in Computational Statistics & Data Analysis.

Rombouts, J., L. Stentoft & 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 and 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.

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