Lars Stentoft, Western University

Research

Read how they describe their research on their Western University profile.

Latest funding

Option Pricing with Multivariate GARCH Models
NSERC · 2020 · Principal investigator
$135,000
Asset allocation of insurance companies: systemic, regulatory, and solvency risks
SSHRC · 2018 · Co-investigator
$141,600
Canadian econometrics study group meeting on Big Data
SSHRC · 2015 · Co-investigator
$20,000

All 6 grants and awards

No publications available.

Option Pricing with Multivariate GARCH Models

Principal investigatorNSERC2020Discovery Grants Program - Individual

Principal investigators: Stentoft, Lars

Keywords: financial mathematics; option pricing; multivariate models; financial econometrics; time series analysis; risk management; asset pricing; closed form formulas; quantitative finance; computational finance

$135,000

Asset allocation of insurance companies: systemic, regulatory, and solvency risks

Co-investigatorSSHRC2018Insight Grants

Principal investigators: Boyer, M. Martin

Keywords: insurers' asset allocation; insurers' regulatory environment; life insurance; property and casualty insurance; investments; low interest rate environment; insurer solvency

$141,600

Canadian econometrics study group meeting on Big Data

Co-investigatorSSHRC2015Connection Grants

Principal investigators: Gonçalves, Sílvia

Keywords: econometrics; applied econometrics; Big Data; high dimensional models

$20,000

Finite mixture models and their use for option pricing and risk management

Principal investigatorNSERC2014Discovery Grants Program - Individual

Principal investigators: Stentoft, Lars

$90,000

Financial Econometrics

Principal investigatorNSERC2013Canada Research Chairs

Principal investigators: Stentoft, Lars

$400,000

Financial Econometrics

Principal investigatorNSERC2013Canada Research Chairs

Principal investigators: Stentoft, Lars

Keywords: CRC

$100,000

From CIHR, NSERC and SSHRC funding decisions: CIHR since 2008, NSERC since 1991 and SSHRC since 1998, including their latest published competition results.

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Applying for

Mention their NSERC grant from 2020

Subject: Prospective PhD student Dear Professor Stentoft, My name is [your name], and I am a [your current degree or role] at [your institution]. I am applying for a PhD position starting in [term and year]. Your research connects closely to my own work on [your research topic]. [One or two sentences on what you did and what you learned.] I also saw your NSERC-funded project "Option Pricing with Multivariate GARCH Models" (2020), and I would be glad to contribute to work in that direction. Are you accepting new PhD students for [term and year]? I have attached my CV and transcripts, and I would be glad to talk at a time that suits you. Thank you for your time. Kind regards, [your name]