Lars Stentoft

Contact Information

Lars Stentoft
Associate Professor
Department of Economics
(joint with Department of Statistical and Actuarial Sciences)
University of Western Ontario
London (Ontario)
Canada N6A 5C2

Tel: 519 661-2111 Ext. 85311
Fax: 519 661-3666

Click here for my official homepage.
Click here for my personal homepage.
Click here for my SSRN page.

Affiliations

Department of Economics, University of Western Ontario
Department of Statistical and Actuarial Sciences
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
Center for Research in Econometric Analysis of Time Series (CREATES)

Research

10 Most Recent Publications (for full list see my CV)

Escobar-Anel, M., Y. Hou and L. Stentoft. (2025), ‘The shifted GARCH model with affine variance: Applications in pricing’, Finance Research Letters, Volume 71, January, 106371 (https://doi.org/10.1016/j.frl.2024.106371).

Escobar-Anel, M., L. Stentoft and X. Ye. (2024), ‘Not All VIXs Are (Informationally) Equal: Evidence from Affine GARCH Option Pricing Models’, Finance Research Letters, 69(A), November, 106053 (https://doi.org/10.1016/j.frl.2024.106053).

Boire, F.M., M. Reesor and L. Stentoft. (2024), ‘Bias Correction in the Least-Squares Monte Carlo Algorithm’, Computational Economics, 65, 3161-3205 (https://doi.org/10.1007/s10614-024-10663-9).

Reesor, M., L. Stentoft and X. Zhu. (2024), ‘A Critical Analysis of the Weighted Least Squares Monte Carlo Method for Pricing American Options’, Finance Research Letters, 64, June, 105379 (https://doi.org/10.1016/j.frl.2024.105379).

Escobar-Anel, M., L. Stentoft and X. Ye. (2023), ‘The Benefits of Returns and Options in the Estimation of GARCH Models. A Heston-Nandi GARCH Insight’, Econometrics and Statistics (https://doi.org/10.1016/j.ecosta.2022.12.001).

Boire, F. M., M. Reesor and L. Stentoft. (2023), ‘Lower Bounds for American Option Prices with Control Variates’, Operations Research Letters, 51(6), November, 568-574, (https://doi.org/10.1016/j.orl.2023.09.008).

Escobar-Anel, M., J. Rastegari and L. Stentoft. (2023), ‘Covariance Dependent Kernels, a Q-Affine GARCH for multi-asset option pricing’, International Review of Financial Analysis, 87, May, 102622, (https://doi.org/10.1016/j.irfa.2023.102622).

Letourneau, P. and L. Stentoft. (2023), ‘Simulated Greeks for American Options’, Quantitative Finance, 23(4), 653-676, (https://doi.org/10.1080/14697688.2022.2159869).

Huddleston, D., F. Liu and L. Stentoft. (2023), ‘Intraday Market Predictability: A Machine Learning Approach’, Journal of Financial Econometrics, 21(2), Spring, 485-527, (https://doi.org/10.1093/jjfinec/nbab007).

Boire, F. M., M. Reesor 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, (https://doi.org/10.3390/jrfm14110504).

Current Working Papers (most are available at my SSRN page)

Analytical Fixed Income Pricing in Discrete-time: A New Family of Models (joint work with Marcos Escobar-Anel and Xize Ye, revise and resubmit at Global Finance Journal).

Efficient Pricing and Model Calibration with Large Panels of Options (joint work with Pascal Letourneau, revise and resubmit at Journal of Financial Econometrics).

Intraday Stock Predictability Everywhere (joint work with Fred Liu, revise and resubmit at Review of Asset Pricing).

Setting the VIX Free: A Generalized Affine GARCH Model (joint work with Marcos Escobar-Anel and Xize Ye, revise and resubmit at Review of Asset Pricing).

Recent Grants (for a full list see my cv)

Canadian Foundation for Innovation – Infrastructure Operating Fund (CFI-IOF) Grant, Project title: ‘Memory-Intensive High-Dimensional Models for Financial Data and Risk Management’. CAD 77,284.

Canadian Foundation for Innovation (CFI-JELF) Grant, Project title: ‘Memory-Intensive High-Dimensional Models for Financial Data and Risk Management’. CAD 646,345.

Natural Sciences and Engineering Research Council of Canada (NSERC) Discovery Grant, Project title: ‘Option Pricing with Multivariate GARCH Models’. CAD 135,000.

Teaching

Financial Risk Management (MFE/MSc)
Applied Financial Econometrics (PhD/MFE)
Time Series Econometrics (PhD)
Financial Modelling I (BSc)