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

Recent Publications (for full list see my CV)

Escobar-Anel, M., L. Stentoft and Ye, X. (2022), ‘The Benefits of Returns and Options in the Estimation of GARCH Models. A Heston-Nandi GARCH Insight’, forthcoming in Econometrics and Statistics.

Letourneau, P. and L. Stentoft. (2022), ‘Simulated Greeks for American Options’, forthcoming in Quantitative Finance (https://doi.org/10.1080/14697688.2022.2159869).

Boire, F. M., Reesor, M. 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).

Huddleston, D. Liu, F. and L. Stentoft. (2021), ‘Intraday Market Predictability: A Machine Learning Approach’, Journal of Financial Econometrics, nbab007, (https://doi.org/10.1093/jjfinec/nbab007).

Francois, P. and L. Stentoft. (2021), ‘Smile-Implied Hedging with Volatility Risk’, Journal of Futures Markets, 41(8), 1220-1240, (https://doi.org/10.1002/fut.22191).

Boire, F. M., Reesor, M. and L. Stentoft. (2021), ‘American Option Pricing with Importance Sampling and Shifted Regressions’, Journal of Risk and Financial Management, 14(8) #340, 1-21, (https://doi.org/10.3390/jrfm14080340).

Liu, F. and L. Stentoft. (2021), ‘Regulatory Capital and Incentives for Risk Model Choice under Basel 3’, Journal of Financial Econometrics, 19(1), 53-96, (https://doi.org/10.1093/jjfinec/nbaa029).

Escobar, M., Rastegeri, J. and L. Stentoft. (2021), ‘Option Pricing with Conditional GARCH Models’, European Journal of Operational Research, 289(1), 350-363, (https://doi.org/10.1016/j.ejor.2020.07.002).

Escobar, M., Rastegeri, J. and L. Stentoft. (2020), ‘Affine Multivariate GARCH Models’, Journal of Banking and Finance, 118, #105895, 1-16, (https://doi.org/10.1016/j.jbankfin.2020.105895).

Rombouts, J., L. Stentoft and F. Violante. (2020), ‘Dynamics of Variance Risk Premia: A New Model for Disentangling the Price of Risk’, Journal of Econometrics, 217(2), 312-334, (https://doi.org/10.1016/j.jeconom.2019.12.006).

Rombouts, J., L. Stentoft and F. Violante. (2020), ‘Pricing Individual Stock Options using both Stock and Market Index Information’, Journal of Banking and Finance, 111, #105727, 1-16, (https://doi.org/10.1016/j.jbankfin.2019.105727).

Rombouts, J., L. Stentoft and F. Violante. (2020), ‘Variance Swap Payoffs, Risk Premia and Extreme Market Conditions’, Econometrics and Statistics, 13, 106-124, (https://doi.org/10.1016/j.ecosta.2019.05.003).

Stentoft, L. and S. Wang. (2020), ‘Consistent and Efficient Dynamic Portfolio Replication with Many Factors’, Journal of Portfolio Management, 46 #2, 79-91, (https://doi.org/10.3905/jpm.2019.1.118).

Letourneau, P. and L. Stentoft. (2019), ‘Bootstrapping the Early Exercise Boundary in the Least-Squares Monte Carlo Method’, Journal of Risk and Financial Management, 12(4) #190, 1-21, (https://doi.org/10.3390/jrfm12040190).

Stentoft, L. (2019), ‘Efficient Numerical Pricing of American Call Options using Symmetry Arguments’, Journal of Risk and Financial Management, 12(2) #59, 1-26, (https://doi.org/10.3390/jrfm12020059).

Grynkiv, G. and L. Stentoft. (2018), ‘Stationary Threshold Vector Autoregressive Models’, Journal of Risk and Financial Management, 11(3) #45, 1-23, (https://doi.org/10.3390/jrfm11030045).

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

Bias Correction in the Least-Squares Monte Carlo Algorithm (joint work with Francois-Michel Boire and Mark Reesor).

Covariance Dependent Kernels, a Q-Affine GARCH for multi-asset option pricing (joint work with Marcos Escobar-Anel and Javad Rastegari).

Efficient Pricing of Large Panels of Options (joint work with Pascal Letourneau).

Monte Carlo Variance Reduction and American Option Exercise Strategies (joint work with Francois-Michel Boire and Mark Reesor).

Who Knew Optimally Sampled Controls are Biased? This Changes Everything (joint work with Francois-Michel Boire and Mark Reesor).

Recent Grants (for a full list see my cv)

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.

Canadian Derivatives Institute (CDI) Research Grant, Project title: ‘Affine Multivariate GARCH Models’. Co-applicant with M. Escobar-Anel. CAD 20,000.

Teaching

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