Justin Kirkby

Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)

765 Ferst Drive

Atlanta, GA 30332-0205

United States

SCHOLARLY PAPERS

26

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Top 27,186

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2,022

SSRN CITATIONS
Rank 8,179

SSRN RANKINGS

Top 8,179

in Total Papers Citations

87

CROSSREF CITATIONS

64

Scholarly Papers (26)

1.

Efficient Option Pricing by Frame Duality with the Fast Fourier Transform

SIAM Journal on Financial Mathematics, 6(1), 713-747, 2015
Number of pages: 31 Posted: 16 Sep 2014 Last Revised: 22 Dec 2016
Justin Kirkby
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Downloads 279 (126,055)
Citation 15

Abstract:

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option pricing, fast Fourier transform, European options, Levy processes, Heston's model, frame projection, B-Splines, Asian options, Wavelets, CGMY model, COS method

2.

A Closed-form Model-free Implied Volatility Formula through Delta Families

Journal of Derivatives, forthcoming
Number of pages: 24 Posted: 06 May 2020 Last Revised: 24 Jul 2020
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE), Marist College - Department of Mathematics and New Jersey Institute of Technology
Downloads 250 (141,158)

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Dirac Delta function, delta sequence, implied volatility, model-free, SVI, SABR, Heston

Static Hedging and Pricing of Exotic Options with Payoff Frames

Mathematical Finance, Forthcoming
Number of pages: 44 Posted: 27 Sep 2014 Last Revised: 19 Mar 2018
Justin Kirkby and Shijie Deng
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Downloads 203 (172,028)
Citation 9

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Option pricing, static hedging, exotic options, projection, basis, frame, replication, European options, semi-static, derivatives, calibration

Static Hedging and Pricing of Exotic Options with Payoff Frames

Mathematical Finance, Vol. 29, Issue 2, pp. 612-658, 2019
Number of pages: 47 Posted: 13 Mar 2019
Justin Kirkby and Shijie Deng
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Downloads 1 (771,900)
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basis, exotic hedging, Lévy, option pricing, static hedging, variance swap

4.

An Efficient Transform Method for Asian Option Pricing

SIAM Journal on Financial Mathematics, 7, 845-892, 2016
Number of pages: 45 Posted: 08 Nov 2014 Last Revised: 22 Dec 2016
Justin Kirkby
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Downloads 150 (224,090)
Citation 13

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Asian Option, fft, fourier transform, exotic option pricing, spline, PROJ, Levy process, characteristic function, COS method, quadrature

5.

A General Valuation Framework for SABR and Stochastic Local Volatility Models

Number of pages: 44 Posted: 09 Mar 2019
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 139 (238,277)
Citation 10

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SABR, stochastic local volatility, quadratic local volatility, continuous-time Markov Chains, exotic options, American options, Asian options, option pricing, CTMC, occupation time derivatives, barrier options

6.

Robust Option Pricing with Characteristic Functions and the B-Spline Order of Density Projection

Journal of Computational Finance, Forthcoming
Number of pages: 27 Posted: 25 Nov 2014 Last Revised: 26 Feb 2016
Justin Kirkby
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Downloads 129 (252,638)
Citation 14

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option pricing, efficient, numerical, fast Fourier transform, FFT, European options, forward starting options, exotic options, Levy processes, valuation, COS method, Greeks, calibration, quadrature, basis projection

7.

Robust Barrier Option Pricing by Frame Projection Under Exponential Levy Dynamics

Applied Mathematical Finance, Forthcoming
Number of pages: 38 Posted: 23 Dec 2014 Last Revised: 14 Sep 2017
Justin Kirkby
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Downloads 126 (257,120)
Citation 15

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Parisian options, Barrier options, delayed barrier options, cumulative Parisian options, Parasian, efficient, Toeplitz, knock-out option, fast Fourier transform, FFT, exotic options, Levy processes, valuation, COS method, basis projection, characteristic function

8.

The CTMC-Heston Model: Calibration and Exotic Option Pricing with SWIFT

Number of pages: 31 Posted: 28 Oct 2019
University of Coruña - Department of Mathematics - M2NICA, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and University of Barcelona
Downloads 103 (296,916)
Citation 1

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Heston Model, CTMC, Markov Chain Approximation, Regime Switching, Option Pricing, Calibration, Wavelets, SWIFT, Stochastic Volatility, Asian Options, Variance Swaps

9.

Continuous-Time Markov Chain and Regime Switching Approximations with Applications to Options Pricing

Number of pages: 32 Posted: 28 Jan 2019
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 92 (319,405)
Citation 1

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Markov Chain, Options Pricing, FFT

10.

Moments of Student's t-distribution: A Unified Approach

Number of pages: 11 Posted: 18 Dec 2019
Justin Kirkby, Dang Nguyen and Duy Nguyen
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE), University of Alabama and Marist College - Department of Mathematics
Downloads 59 (409,639)
Citation 1

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Normal distribution, Student's t-distribution, Moment, Raw Moment, Absolute Moment, Multivariate

11.

Nonparametric Density Estimation by B-spline Duality

Stevens Institute of Technology School of Business Research Paper
Number of pages: 39 Posted: 08 Apr 2019
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 48 (449,428)
Citation 2

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nonparametric density estimation, spline, empirical characteristic function, empirical density, fast Fourier transform, Levy processes, basis, PROJ, kernel density estimator

12.

Efficient Simulation of Stochastic Differential Equations Based on Markov Chain Approximations With Applications

Number of pages: 49 Posted: 11 Sep 2020
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 44 (465,579)

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Simulation; SABR; stochastic local volatility; Markov chain; stochastic differential equation; finance

13.

American and Exotic Option Pricing with Jump Diffusions and Other Lévy Processes

J. Computational Finance, Forthcoming
Number of pages: 33 Posted: 31 Oct 2017
Justin Kirkby
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Downloads 44 (465,579)

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Exotic Options, Fast Fourier Transform, Early Exercise, Bermudan Option, American Option, Lookback Option, Discretely Monitored, Credit Default Swaps, Default Probability, Asian Option, Barrier Option, Lévy Processes, Basis, Characteristic Function, PROJ, FFT, Convolution, Numerical

Efficient Asian Option Pricing Under Regime Switching Jump Diffusions and Stochastic Volatility Models

Annals of Finance, Forthcoming
Number of pages: 39 Posted: 08 May 2020
Justin Kirkby and Duy Nguyen
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 22 (598,513)

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Asian option, jump diffusion, stochastic volatility, regime switching, fourier, exotic option, markov chain

Efficient Asian Option Pricing Under Regime Switching Jump Diffusions and Stochastic Volatility Models

Number of pages: 39 Posted: 14 May 2020
Justin Kirkby and Duy Nguyen
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 18 (627,585)

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A Data-Driven Framework for Consistent Financial Valuation and Risk Measurement

Number of pages: 51 Posted: 31 Jul 2020
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 22 (598,513)

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Finance, Risk Management, Data-Driven, Non-Parametric, Empirical Characteristic Function, Empirical Density, Model-Free

A Data-Driven Framework for Consistent Financial Valuation and Risk Measurement

Number of pages: 51 Posted: 01 Aug 2020
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 16 (642,339)

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Finance, Risk Management, Data-Driven, Non-Parametric, Empirical Characteristic Function, Empirical Density, Model-Free

16.

Equity-Linked Annuity Pricing with Cliquet-Style Guarantees in Regime-Switching and Stochastic Volatility Models with Jumps

Insurance: Mathematics and Economics, Vol. 74, 2017, Stevens Institute of Technology School of Business Research Paper
Number of pages: 36 Posted: 05 Jan 2018
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 35 (505,832)
Citation 6

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Life insurance, equity-linked annuity, cliquet, gurantee, stochastic volatility, regime-switching, jump diffusion

17.

A General Framework for Discretely Sampled Realized Variance Derivatives in Stochastic Volatility Models with Jumps

European Journal of Operational Research, 262(1), 2017, pg. 381-400, Stevens Institute of Technology School of Business Research Paper
Number of pages: 43 Posted: 05 Jan 2018
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 35 (505,832)
Citation 8

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variance swap, volatility derivatives, regime-switching, jump diffusion, stochastic volatility, realized variance

18.

A General Framework for Time-Changed Markov Processes and Applications

Stevens Institute of Technology School of Business Research Paper
Number of pages: 34 Posted: 29 Aug 2018
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 33 (515,864)
Citation 5

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Finance, Time Change, Markov Process, Option Pricing, Continuous-Time Markov Chains, Laplace Transform, Subordination, Variance Swaps, Bermudan Options

19.

A Unified Approach to Bermudan and Barrier Options Under Stochastic Volatility Models with Jumps

Journal of Economic Dynamics and Control, Vol. 80, 2017, Stevens Institute of Technology School of Business Research Paper
Number of pages: 41 Posted: 05 Jan 2018
Justin Kirkby, Duy Nguyen and Zhenyu Cui
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE), Marist College - Department of Mathematics and Stevens Institute of Technology - School of Business
Downloads 33 (521,028)
Citation 5

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American options, Barrier options, Stochastic volatility, Regime switching, Jump diffusion, Frame projection

20.

An Analysis of Dollar Cost Averaging and Market Timing Investment Strategies

Number of pages: 43 Posted: 27 May 2020
Justin Kirkby, Mitra Sovan and Duy Nguyen
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE), affiliation not provided to SSRN and Marist College - Department of Mathematics
Downloads 32 (521,028)

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21.

Full-fledged SABR through Markov Chains

Stevens Institute of Technology School of Business Research Paper
Number of pages: 13 Posted: 14 Mar 2019
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 32 (521,028)
Citation 2

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SABR model, Markov chain, exotic options, calibration

22.

Integral Representation of Probability Density of Stochastic Volatility Models and Timer Options

Number of pages: 25 Posted: 08 Dec 2017
Zhenyu Cui, Justin Kirkby, Guanghua Lian and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE), University of California, Berkeley - Haas School of Business and Marist College - Department of Mathematics
Downloads 27 (548,534)
Citation 4

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stochastic volatility, exact probability density,implied volatility, timer option

23.

Swing Option Pricing by Dynamic Programming with B-spline Density Projection

International Journal of Theoretical and Applied Finance, 2019
Number of pages: 36 Posted: 16 Oct 2019 Last Revised: 01 Feb 2020
Justin Kirkby and Shijie Deng
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Downloads 26 (554,481)
Citation 1

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Swing Option, early-exercise, option pricing, Levy process, American Option, Fourier

24.

A General Continuous Time Markov Chain Approximation for Multi-Asset Option Pricing With Systems of Correlated Diffusions

Number of pages: 29 Posted: 11 Jul 2020
Justin Kirkby, Dang Nguyen and Duy Nguyen
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE), University of Alabama and Marist College - Department of Mathematics
Downloads 13 (640,994)

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25.

Efficient Simulation of Generalized SABR and Stochastic Local Volatility Models based on Markov Chain Approximations

Number of pages: 49 Posted: 02 Nov 2020
Zhenyu Cui, Justin Kirkby and Duy Nguyen
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 11 (655,410)
Citation 1

Abstract:

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Simulation, SABR, stochastic local volatility, Markov chain

26.

Nonparametric Density Estimation and Bandwidth Selection with B-spline bases: a Novel Galerkin Method

Number of pages: 37
Justin Kirkby
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Downloads 0

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Nonparametric density estimation, spline, bandwidth, kernel, basis, cross validation