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

15

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1,123

CITATIONS
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Top 9,003

in Total Papers Citations

88

Scholarly Papers (15)

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 271 (111,608)
Citation 1

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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

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 187 (160,393)
Citation 5

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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 (680,308)
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basis, exotic hedging, Lévy, option pricing, static hedging, variance swap

3.

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 147 (197,420)
Citation 2

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

4.

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 127 (221,873)
Citation 7

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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

5.

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 119 (233,034)
Citation 4

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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

6.

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 49 (389,281)
Citation 1

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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

7.

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 37 (433,987)

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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

8.

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 33 (450,679)

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Markov Chain, Options Pricing, FFT

9.

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 26 (484,765)
Citation 1

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

10.

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 24 (495,793)
Citation 1

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

11.

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 24 (495,793)
Citation 2

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

12.

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 22 (507,086)
Citation 1

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

13.

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 22 (507,086)
Citation 1

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

14.

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 18 (530,340)

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

15.

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 16 (541,897)
Citation 1

Abstract:

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SABR model, Markov chain, exotic options, calibration