Research output per year
Research output per year
Personal profile
Research Interests
Mathematical finance, stochastic processes, probability theory.
Biography
Kevin Lu's area of research is in mathematical finance, stochastic processes, probability theory. His current work focuses on derivatives pricing with Lévy-driven Ornstein-Uhlenbeck processes and its applications to energy markets. 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.
Kevin teaches FINM3003/6006 Continuous Time Finance and FINM3007/6007 Advanced Derivatives Pricing and Applications.
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Research output
- 8 Article
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Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination
Lu, K. W., Jul 2022, In: Statistical Inference for Stochastic Processes. 25, 2, p. 365-396 32 p.Research output: Contribution to journal › Article › peer-review
5 Citations (Scopus) -
Pricing energy spread options with variance gamma-driven Ornstein-Uhlenbeck dynamics
Leung, T. & Lu, K., 5 Aug 2025, (Submitted) In: arXiv e-prints. 35 p.Research output: Contribution to journal › 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 Access1 Citation (Scopus) -
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