Matthew J. Lorig

发表

EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS

Matthew J. Lorig, S. Pagliarani, A. Pascucci, 2013 .

Asymptotics for d-Dimensional Levy-Type Processes

Andrea Pascucci, Matthew Lorig, Stefano Pagliarani, 2014, 1404.3153.

A Taylor Series Approach to Pricing and Implied Volatility for Local–Stochastic Volatility Models

Andrea Pascucci, Matthew Lorig, Stefano Pagliarani, 2014 .

Variance Swaps on Defaultable Assets and Market Implied Time-Changes

Rafael Mendoza-Arriaga, Matthew Lorig, Oriol Lozano-Carbassé, 2013 .

A Family of Density Expansions for Lévy-Type Processes

Andrea Pascucci, Matthew Lorig, Stefano Pagliarani, 2013, 1312.7328.

A Taylor Series Approach to Pricing and Implied Vol for LSV Models

Andrea Pascucci, Matthew Lorig, Stefano Pagliarani, 2013 .

Analytical Expansions for Parabolic Equations

Andrea Pascucci, Matthew Lorig, Stefano Pagliarani, 2013, SIAM Journal on Applied Mathematics.

LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS

Matthew J. Lorig, A. Pascucci, Tim Leung, 2017 .

LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS

Andrea Pascucci, Tim Leung, Matthew Lorig, 2014, 1404.6792.

Approximate pricing of European and Barrier claims in a local-stochastic volatility setting

Matthew J. Lorig, Weston Barger, 2016, 1610.05728.

PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH

Matthew J. Lorig, 2011, 1109.0738.

Pricing Derivatives on Multiscale Diffusions: Simplicity through Spectral Theory

Matthew J. Lorig, 2011 .

Optimal Bookmaking

Matthew J. Lorig, Zhou Zhou, B. Zou, 2019, Eur. J. Oper. Res..

The Smile of Certain Lévy-Type Models

Antoine Jacquier, Matthew J. Lorig, A. Jacquier, 2013, SIAM J. Financial Math..

OPTIMAL LIQUIDATION UNDER STOCHASTIC PRICE IMPACT

Matthew J. Lorig, Weston Barger, 2018, International Journal of Theoretical and Applied Finance.

Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility

Matthew Lorig, José E. Figueroa-López, Ruoting Gong, 2016, SIAM J. Financial Math..

Explicit Implied Volatilities for Multifactor Local-Stochastic Volatility Models

Matthew J. Lorig, S. Pagliarani, A. Pascucci, 2014 .

Explicit implied vols for multifactor local-stochastic vol models

Andrea Pascucci, Matthew Lorig, Stefano Pagliarani, 2013 .

Second Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis & Calibration

R. Sircar, Matthew J. Lorig, J. Fouque, 2012, 1208.5802.

C P ] 1 8 A pr 2 01 3 The Smile of certain Lévy-type Models

Matthew J. Lorig, A. Jacquier, 2013 .

Time-Changed Fast Mean-Reverting Stochastic Volatility Models

Matthew J. Lorig, 2010, 1010.5203.

Time-Changed Fast Mean-Reverting Stochastic Volatility Models

Matthew J. Lorig, 2010, 1010.5203.

Optimal Trading with Differing Trade Signals

Matthew J. Lorig, Ryan Francis Donnelly, 2020, Applied Mathematical Finance.

Multiscale exponential Lévy-type models

Matthew J. Lorig, Oriol Lozano-Carbassé, 2015 .

The Exact Implied Volatility Smile for Exponential L\'evy Models

Matthew J. Lorig, 2012 .

INDIFFERENCE PRICES AND IMPLIED VOLATILITIES

Matthew J. Lorig, 2014, 1412.5520.

Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration

R. Sircar, Matthew J. Lorig, J. Fouque, 2016, Finance and Stochastics.

Explicit Caplet Implied Volatilities for Quadratic Term-Structure Models

Matthew J. Lorig, Natchanon Suaysom, 2022, 2212.04425.

Portfolio Optimization Under Local-Stochastic Volatility: Coefficient Taylor Series Approximations & Implied Sharpe Ratio

R. Sircar, Matthew J. Lorig, 2015 .

A Mathematical Analysis of Technical Analysis

Zhou Zhou, Matthew Lorig, Bin Zou, 2017, Applied Mathematical Finance.

A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model

Jean-Pierre Fouque, Matthew J. Lorig, Matthew J. Lorig, 2010, SIAM J. Financial Math..

Stochastic Volatility: Modeling and Asymptotic Approaches to Option Pricing and Portfolio Selection

Ronnie Sircar, Matthew Lorig, R. Sircar, 2016 .

Pricing Variance Swaps on Time-Changed Markov Processes

Matthew Lorig, Roger Lee, Peter Carr, 2017, SIAM J. Financial Math..

Elastic Solutions for Eccentrically Loaded, Slender, Rectangular Spandrel Beams

Arturo E. Schultz, Bulent Mercan, Henryk K Stolarski, 2012 .

The implied Sharpe ratio

Matthew J. Lorig, Ankush Agarwal, 2019, Quantitative Finance.

Analytical Expansions for Parabolic Equations

Andrea Pascucci, Matthew Lorig, Stefano Pagliarani, 2013, SIAM J. Appl. Math..

Explicit implied vols for multifactor local-stochastic vol models

Andrea Pascucci, Matthew Lorig, Stefano Pagliarani, 2013, 1306.5447.

Pricing Approximations and Error Estimates for Local Levy-Type Models with Default

Andrea Pascucci, Matthew Lorig, Stefano Pagliarani, 2013, Comput. Math. Appl..

Options on bonds: implied volatilities from affine short-rate dynamics

Matthew Lorig, Natchanon Suaysom, Matthew J. Lorig, 2021, Annals of Finance.

Optimal times to buy and sell a home

Matthew J. Lorig, Natchanon Suaysom, 2022, 2203.05545.

Variance Swaps on Defaultable Assets and Market Implied Time-Changes

Rafael Mendoza-Arriaga, Matthew Lorig, Oriol Lozano-Carbassé, 2012, SIAM J. Financial Math..

Pricing of Variance Swaps under a Credit-Equity Modeling Framework

Matthew J. Lorig, Rafael Mendoza-Arriaga, 2012 .

Exponential Lévy Models with Stochastic Volatility and Stochastic Jump-Intensity

Matthew J. Lorig, 2012, 1205.2398.

The Smile of certain L\'evy-type Models

Matthew J. Lorig, A. Jacquier, 2012, 1207.1630.

Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion

Matthew Lorig, John Armstrong, Hongzhong Zhang, 2013, SIAM J. Financial Math..

Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models

Jean-Pierre Fouque, Sebastian Jaimungal, Matthew J. Lorig, 2010, SIAM J. Financial Math..