J. Kirkby

Finance · with Nguyen · 2017–2020

A researcher in the Science corpus: 3 papers; trusts 3 researchers and is trusted by 0 researchers here, as inferred from the citation graph.

Subfields

• Finance — 37 citations into it
• Economics and Econometrics — 9 citations into it
• Mathematical Physics — 6 citations into it

Whom J. Kirkby trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Jin E. Zhang
2. Steven Kou
3. Martino Grasselli
4. Zhenyu Cui
5. Robert J. R. Elliott
6. Peter P. Carr
7. R. Liu
8. Jack Buffington

Papers from J. Kirkby's perspective

Ordered by how strongly the researchers J. Kirkby trusts endorse each paper. Same corpus, a different order for every researcher.

1. REGULAR VARIATION AND SMILE ASYMPTOTICS
2. The Pricing of Options and Corporate Liabilities
3. The jump-risk premia implicit in options: evidence from an integrated time-series study $
4. Post-'87 crash fears in the S&P 500 futures option market
5. Financial Modelling with Jump Processes
6. Option Pricing by Transform Methods: Extensions, Unification, and Error Control
7. A Theory for the Term Structure of Interest Rates
8. Option Pricing, Interest Rates and Risk Management: Towards a Theory of Volatility Trading
9. The Fine Structure of Asset Retums : An Empirical Investigation '
10. Time-Changed Levy Processes and Option Pricing ⁄

Their papers

• Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (2020) — 66 citations
• A General Valuation Framework for SABR and Stochastic Local Volatility Models (2018) — 76 citations
• A unified approach to Bermudan and barrier options under stochastic volatility models with jumps (2017) — 73 citations