Lars Stentoft

Associate Professor / Joint with the Department of Statistical and Actuarial Sciences
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 and F. Violante. (2019), ‘Dynamics of Variance Risk Premia: A New Model for Disentangling the Price of Risk’, forthcoming in Journal of Econometrics.

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

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

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

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 (

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 (