Lars Stentoft

Contact Information

Lars Stentoft
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)

Ehler, N., M. Escobar-Anel, L. Stentoft and R. Zagst. (2026), ‘Behavioural Portfolio Decisions in a GARCH World’, forthcoming in Financial Innovation.

Escobar-Anel, M., K. Pan and L. Stentoft. (2026), ‘A mean reverting affine GARCH model for commodities’, Energy Economics, 153, January, 109075 https://doi.org/10.1016/j.eneco.2025.109075.

Létourneau, P. and L. Stentoft. (2025), ‘Efficient Pricing and Model Calibration With Large Panels of Options’, Journal of Financial Econometrics, 23(5), nbaf019 (https://doi.org/10.1093/jjfinec/nbaf019).

Escobar-Anel, M., L. Stentoft and X. Ye. (2025), ‘Analytical Fixed Income Pricing in Discrete-time: A New Family of Models’, Global Finance Journal, 67, September, 101170 (https://doi.org/10.1016/j.gfj.2025.101170).

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).

Boire, F.M., M. Reesor and L. Stentoft. (2025), ‘Bias Correction in the Least-Squares Monte Carlo Algorithm’, Computational Economics, 65, 3161-3205 (https://doi.org/10.1007/s10614-024-10663-9).

Escobar-Anel, M., L. Stentoft and X. Ye. (2025), ‘The Benefits of Returns and Options in the Estimation of GARCH Models. A Heston-Nandi GARCH Insight’, Econometrics and Statistics, 36, 1-18 (https://doi.org/10.1016/j.ecosta.2022.12.001).

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).

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).

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).

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

Discrete-time hedging, basis risk, and covariance-dependent pricing kernels (joint work with Ismael Assani, Maciej Augustyniak, Alexandru Badescu, and Jean-Francois Begin, 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 Studies).

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 Studies).

Recent Grants (for a full list see my cv)

Natural Sciences and Engineering Research Council of Canada (NSERC) Discovery Grant, Project title: ‘Calibrating (option pricing) models (to large amounts of data)’. CAD 200,000.

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

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