Research output per year
Research output per year
Personal profile
Research Interests
Biography
Kevin Lu's area of research is in stochastic processes, probability theory and its applications to mathematical finance. Focusing on Lévy processes, he has worked on the theory of multivariate subordinated Lévy processes, estimation for Lévy-driven Ornstein-Uhlenbeck processes, and their applications to pairs trading.
Kevin completed his PhD at the Australian National University. He was previously an Acting Instructor at the University of Washington.
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Research output
- 6 Article
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Monte Carlo Simulation for Trading Under a Lévy-Driven Mean-Reverting Framework
Leung, T. & Lu, K. W., 2023, In: Applied Mathematical Finance. 30, 4, p. 207-230 24 p.Research output: Contribution to journal › Article › peer-review
Open Access -
Approximate maximum likelihood estimation for one-dimensional diffusions observed on a fine grid
Lu, K. W., Paine, P. J., Preston, S. P. & Wood, A. T. A., Sept 2022, In: Scandinavian Journal of Statistics. 49, 3, p. 1085-1114 30 p.Research output: Contribution to journal › Article › peer-review
Open Access -
Necessity of weak subordination for some strongly subordinated Lévy processes
Buchmann, B. & Lu, K. W., 16 Dec 2021, In: Journal of Applied Probability. 58, 4, p. 868-879 12 p.Research output: Contribution to journal › Article › peer-review
Open Access -
Self-decomposability of weak variance generalised gamma convolutions
Buchmann, B., Lu, K. W. & Madan, D. B., Feb 2020, In: Stochastic Processes and their Applications. 130, 2, p. 630-655 26 p.Research output: Contribution to journal › Article › peer-review
Open Access4 Citations (Scopus) -
Calibration for Weak Variance-Alpha-Gamma Processes
Buchmann, B., Lu, K. W. & Madan, D. B., 1 Dec 2019, In: Methodology and Computing in Applied Probability. 21, 4, p. 1151-1164 14 p.Research output: Contribution to journal › Article › peer-review
Open Access8 Citations (Scopus)