Lars Stentoft

Lars Stentoft is an Associate Professor jointly appointed with the Department of Statistical and Actuarial Sciences and the Department of Economics at Western University. His academic work bridges quantitative finance, computational methods, and financial econometrics, contributing significantly to option pricing theory and implementation. Based in office WSC 278, he maintains an active research program supported by major Canadian funding agencies.

Dr. Stentoft's research focuses on computational finance, particularly in the areas of option pricing, financial econometrics, and simulation methods. His work demonstrates exceptional technical proficiency in developing and implementing advanced numerical methods for financial applications. He has made significant contributions to American option pricing through symmetry arguments, importance sampling techniques, and variance reduction methods. His research extends to GARCH modeling, variance risk premia, and the intersection of machine learning with financial prediction.

Analysis of his recent publications reveals a strong trend toward increasingly sophisticated modeling of financial derivatives, with particular emphasis on computational efficiency. His work frequently addresses the practical implementation challenges of theoretical finance models, bridging the gap between academic research and real-world financial applications. The research spans traditional finance topics like option pricing while incorporating modern approaches such as machine learning for market prediction.

Dr. Stentoft currently supervises multiple graduate students including PhD candidates Xize Ye and Xiaotian Zhu, and MSc student Kiera Sobolewski. His research is supported by significant funding from the Natural Sciences and Engineering Research Council of Canada (NSERC) Discovery Grant (2020-2025) and the Canadian Foundation for Innovation (CFI-JELF) Grant (2021-2026), demonstrating the importance and relevance of his work to the broader research community.