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

33

DOWNLOADS
Rank 18,466

SSRN RANKINGS

Top 18,466

in Total Papers Downloads

3,813

SSRN CITATIONS
Rank 6,462

SSRN RANKINGS

Top 6,462

in Total Papers Citations

130

CROSSREF CITATIONS

74

Scholarly Papers (33)

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
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 738 (47,611)

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 333 (124,602)
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.

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 281 (148,812)
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

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 209 (198,083)
Citation 10

Abstract:

Loading...

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 (895,457)

Abstract:

Loading...

basis, exotic hedging, Lévy, option pricing, static hedging, variance swap

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 206 (200,796)
Citation 1

Abstract:

Loading...

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

6.

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

Number of pages: 39 Posted: 05 Jan 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 176 (230,940)

Abstract:

Loading...

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

7.

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), University of Westminster and Marist College - Department of Mathematics
Downloads 169 (239,011)
Citation 3

Abstract:

Loading...

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 153 (259,600)
Citation 1

Abstract:

Loading...

Markov Chain, Options Pricing, FFT

9.

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 153 (259,600)
Citation 13

Abstract:

Loading...

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

10.

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 133 (289,688)
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

11.

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 (294,747)
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

12.

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 109 (336,684)
Citation 1

Abstract:

Loading...

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

13.

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 97 (361,233)

Abstract:

Loading...

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

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 84 (394,698)
Citation 3

Abstract:

Loading...

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

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 57 (491,878)

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 23 (682,567)
Citation 4

Abstract:

Loading...

16.

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

Number of pages: 53 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 68 (447,442)
Citation 1

Abstract:

Loading...

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

17.

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 57 (484,250)
Citation 3

Abstract:

Loading...

Simulation, SABR, stochastic local volatility, Markov chain

18.

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 52 (504,541)
Citation 2

Abstract:

Loading...

SABR model, Markov chain, exotic options, calibration

19.

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 52 (504,541)
Citation 12

Abstract:

Loading...

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

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 27 (652,172)

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 24 (674,803)
Citation 3

Abstract:

Loading...

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

21.

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 50 (512,980)

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

22.

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 48 (521,879)
Citation 8

Abstract:

Loading...

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

23.

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 47 (526,353)
Citation 8

Abstract:

Loading...

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

24.

A Novel Sampling Method based on Orthogonal Polynomial Expansions and Applications

Number of pages: 20 Posted: 10 Jun 2021
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 44 (540,271)

Abstract:

Loading...

integral transform, inverse transform method, orthogonal polynomial, sampling

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 44 (540,271)
Citation 6

Abstract:

Loading...

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

26.

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

Number of pages: 41 Posted: 11 Aug 2021
Justin Kirkby
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Downloads 43 (545,072)

Abstract:

Loading...

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

27.

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 41 (554,922)
Citation 1

Abstract:

Loading...

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

28.

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 35 (586,337)

Abstract:

Loading...

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

29.

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 35 (586,337)

Abstract:

Loading...

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

30.

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 31 (609,129)
Citation 4

Abstract:

Loading...

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

31.

Robust and nearly exact option pricing with bilateral gamma processes

Number of pages: 25 Posted: 15 Apr 2022
Jean-Philippe Aguilar and Justin Kirkby
Société Générale and Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Downloads 27 (634,241)

Abstract:

Loading...

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

32.

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

Number of pages: 45 Posted: 23 Oct 2021
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 19 (691,923)

Abstract:

Loading...

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

33.

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 17 (707,396)
Citation 1

Abstract:

Loading...