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

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

SCHOLARLY PAPERS

38

DOWNLOADS
Rank 15,687

SSRN RANKINGS

Top 15,687

in Total Papers Downloads

5,200

SSRN CITATIONS
Rank 5,507

SSRN RANKINGS

Top 5,507

in Total Papers Citations

207

CROSSREF CITATIONS

71

Scholarly Papers (38)

Actions:
Email selected abstracts
1.

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
Zhenyu Cui, Justin Kirkby, Duy Nguyen and Stephen Michael Taylor
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 Stevens Institute of Technology
Downloads 989 (37,270)

Abstract:

Loading...

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

2.

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 447 (104,271)
Citation 11

Abstract:

Loading...

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

3.

An Analysis of Dollar Cost Averaging and Market Timing Investment Strategies

Number of pages: 43 Posted: 27 May 2020
Justin Kirkby, Sovan Mitra and Duy Nguyen
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE), University of Westminster and Marist College - Department of Mathematics
Downloads 330 (146,964)
Citation 5

Abstract:

Loading...

4.

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 283 (172,760)
Citation 17

Abstract:

Loading...

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

5.

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

Downloads 260 (186,758)
Citation 2

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

Number of pages: 31 Posted: 28 Oct 2019
Alvaro Leitao Rodriguez, Justin Kirkby and Luis Ortiz-Gracia
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 260 (187,357)
Citation 1

Abstract:

Loading...

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

6.

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 211 (230,271)
Citation 10

Abstract:

Loading...

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

7.

Valuation and Optimal Surrender of Variable Annuities with Guaranteed Minimum Benefits and Periodic Fees

Number of pages: 40 Posted: 05 Jan 2022 Last Revised: 27 Oct 2022
Justin Kirkby and Jean-Philippe Aguilar
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Société Générale
Downloads 197 (245,134)

Abstract:

Loading...

Surrender, equity-linked, variable annuity, GMDB, GMAB, Guaranteed Minimum Death Benefit, GMxB, Levy, variable annuity, mortality, pricing, valuation, lapse

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 196 (246,221)
Citation 1

Abstract:

Loading...

Markov Chain, Options Pricing, FFT

9.

Closed-form Option Pricing for Exponential Lévy Models: A Residue Approach

Number of pages: 56 Posted: 12 Apr 2021 Last Revised: 13 Dec 2021
Jean-Philippe Aguilar and Justin Kirkby
Société Générale and Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Downloads 160 (293,794)
Citation 2

Abstract:

Loading...

Levy process, Stable process, Variance Gamma process, Normal inverse Gaussian process, Stochastic volatility, Option pricing, Mellin Transform

10.

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 154 (303,256)
Citation 13

Abstract:

Loading...

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

11.

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 151 (308,246)
Citation 16

Abstract:

Loading...

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

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 139 (329,388)

Abstract:

Loading...

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

13.

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

Number of pages: 11 Posted: 18 Dec 2019 Last Revised: 28 Jan 2021
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 135 (337,016)
Citation 5

Abstract:

Loading...

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

14.

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 130 (346,820)
Citation 15

Abstract:

Loading...

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

15.

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 117 (374,749)
Citation 13

Abstract:

Loading...

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

16.

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

Downloads 116 (377,070)
Citation 4

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 78 (493,999)

Abstract:

Loading...

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 38 (696,975)
Citation 4

Abstract:

Loading...

17.

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 114 (381,798)
Citation 4

Abstract:

Loading...

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

18.

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 86 (461,102)
Citation 8

Abstract:

Loading...

Simulation, SABR, stochastic local volatility, Markov chain

19.

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 75 (499,668)
Citation 11

Abstract:

Loading...

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

20.

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 75 (499,668)
Citation 16

Abstract:

Loading...

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

21.

Hybrid Equity Swap and Cap Pricing Under Stochastic Interest by Markov Chain Approximation

Number of pages: 47 Posted: 11 Aug 2021 Last Revised: 23 May 2022
Justin Kirkby
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Downloads 71 (515,088)

Abstract:

Loading...

CTMC, markov chain approximation, stochastic interest, hybrid, equity, regime-switching, option pricing, bond option

22.

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

Downloads 68 (526,944)
Citation 6

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 34 (725,116)

Abstract:

Loading...

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 34 (725,116)
Citation 3

Abstract:

Loading...

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

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 68 (526,944)
Citation 1

Abstract:

Loading...

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

24.

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 67 (531,108)
Citation 2

Abstract:

Loading...

SABR model, Markov chain, exotic options, calibration

25.

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 67 (531,108)
Citation 10

Abstract:

Loading...

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

26.

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 65 (539,608)

Abstract:

Loading...

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

27.

A Novel Sampling Method based on Orthogonal Polynomial Expansions and Applications

Number of pages: 20 Posted: 10 Jun 2021
Zhenyu Cui, Justin Kirkby, Duy Nguyen and Stephen Michael Taylor
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 Stevens Institute of Technology
Downloads 58 (570,859)

Abstract:

Loading...

integral transform, inverse transform method, orthogonal polynomial, sampling

28.

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 52 (600,203)
Citation 4

Abstract:

Loading...

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

29.

Equity-Linked Guaranteed Minimum Death Benefits with Dollar Cost Averaging

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 41 Posted: 26 Apr 2021
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 51 (605,418)

Abstract:

Loading...

GMDB, GMxB, Equity-Linked, Annuity, dollar cost averaging, Levy, Asian Option, Guaranteed Minimum Death Benefit

30.

Robust and Nearly Exact Option Pricing with Bilateral Gamma Processes

Number of pages: 27 Posted: 15 Apr 2022 Last Revised: 28 Mar 2023
Jean-Philippe Aguilar and Justin Kirkby
Société Générale and Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Downloads 50 (610,676)
Citation 1

Abstract:

Loading...

Bilateral Gamma process; Variance Gamma process; Lévy process; Option pricing; Mellin Transform; Fourier transform

31.

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

Number of pages: 37 Posted: 12 Mar 2021
Justin Kirkby, Alvaro Leitao Rodriguez and Duy Nguyen
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE), University of Coruña - Department of Mathematics - M2NICA and Marist College - Department of Mathematics
Downloads 49 (615,853)

Abstract:

Loading...

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

32.

The Return Barrier and Return Timer Option with Pricing under Lévy Processes

Number of pages: 38 Posted: 06 Jan 2023
Justin Kirkby and Jean-Philippe Aguilar
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Société Générale
Downloads 41 (666,888)

Abstract:

Loading...

Return Barrier, Return Knock-out, barrier option, Levy process, jump risk premium, timer option, option pricing

33.

A Note on Variance Swap Greeks

Number of pages: 21 Posted: 26 May 2023
Justin Kirkby, Nathaniel Rupprecht and Jean-Philippe Aguilar
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE), University of Notre Dame and Société Générale
Downloads 38 (692,195)

Abstract:

Loading...

variance swaps, greeks, delta, gamma, SABR, stochastic volatility, option pricing, Heston, SLV

34.

SINH-Acceleration for B-Spline Projection with Option Pricing Applications

Number of pages: 45 Posted: 23 Oct 2021
Svetlana Boyarchenko, Sergei Levendorskii, Justin Kirkby and Zhenyu Cui
University of Texas at Austin - Department of Economics, Calico Science Consulting, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Stevens Institute of Technology - School of Business
Downloads 30 (733,301)
Citation 5

Abstract:

Loading...

options pricing, Fourier, sinh-acceleration, barrier option, inversion, B-spline

35.

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 26 (762,961)
Citation 1

Abstract:

Loading...

36.

Hybrid Equity Swap, Cap, and Floor Pricing Under Stochastic Interest by Markov Chain Approximation

Number of pages: 46 Posted: 06 Jun 2022
Justin Kirkby
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Downloads 15 (855,098)

Abstract:

Loading...

Finance, CTMC, markov chain approximation, stochastic interest, option pricing, hybrid, equity swap, equity cap

37.

Spline Local Basis Methods for Nonparametric Density Estimation

Statistics Surveys, 2023
Number of pages: 39 Posted: 24 Mar 2023
Justin Kirkby, Alvaro Leitao Rodriguez and Duy Nguyen
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE), University of Coruña - Department of Mathematics - M2NICA and Marist College - Department of Mathematics
Downloads 13 (873,248)

Abstract:

Loading...

Nonparametric, density estimation, B-spline, bandwidth, kernel, basis, logspline, spline, p-spline

38.

On Swing Option Pricing Under Levy Process Dynamics

Number of pages: 31 Posted: 26 May 2023
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 6 (935,575)

Abstract:

Loading...

swing options, option pricing, policy, exercise, commodities, energy, exotic options, pricing, Levy processes, characteristic function, FFT