Publications (26)
Optimal Static Quadratic Hedging
Tim Leung, Matthew Lorig
Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations & Implied Sharpe Ratio
Matthew Lorig, Ronnie Sircar
Pricing approximations and error estimates for local Lévy-type models with default
Matthew Lorig, Stefano Pagliarani, Andrea Pascucci
Exponential Lévy-type models with stochastic volatility and stochastic jump-intensity
Matthew Lorig, Oriol Lozano-Carbassé
On Carr and Lee's correlation immunization strategy
Jimin Lin, Matthew Lorig
From characteristic functions to implied volatility expansions
Antoine Jacquier, Matthew Lorig
The Exact Smile of some Local Volatility Models
Matthew Lorig
Leveraged {ETF} implied volatilities from {ETF} dynamics
Tim Leung, Matthew Lorig, Andrea Pascucci
Explicit implied volatilities for multifactor local-stochastic volatility models
Matthew Lorig, Stefano Pagliarani, Andrea Pascucci
A Taylor series approach to pricing and implied vol for LSV models
Matthew Lorig, Stefano Pagliarani, Andrea Pascucci
Approximate pricing of European and Barrier claims in a local-stochastic volatility setting
Weston Barger, Matthew Lorig
Analytical expansions for parabolic equations
Matthew Lorig, Stefano Pagliarani, Andrea Pascucci
A family of density expansions for Lévy-type processes
Matthew Lorig, Stefano Pagliarani, Andrea Pascucci
Optimal liquidation under stochastic price impact
Weston Barger, Matthew Lorig
Time-Changed Fast Mean-Reverting Stochastic Volatility Models
Matthew Lorig
A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model
Jean-Pierre Fouque, Matthew Lorig
A Mathematical Analysis of Technical Analysis
Matthew Lorig, Zhou Zhou, Bin Zou
Second Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis & Calibration
Jean-Pierre Fouque, Matthew Lorig, Ronnie Sircar
Small-time asymptotics for a general local-stochastic volatility model with a jump-to-default: curvature and the heat kernel expansion
John Armstrong, Martin Forde, Matthew Lorig +1
Indifference prices and implied volatilities
Matthew Lorig
Asymptotics for $d$-dimensional Lévy-type processes
Matthew Lorig, Stefano Pagliarani, Andrea Pascucci
Pricing Derivatives on Multiscale Diffusions: an Eigenfunction Expansion Approach
Matthew Lorig
Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models
Jean-Pierre Fouque, Sebastian Jaimungal, Matthew Lorig
Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy models With Local Volatility
José E. Figueroa-López, Ruoting Gong, Matthew Lorig
Variance Swaps on Defaultable Assets and Market Implied Time-Changes
Matthew Lorig, Oriol Lozano Carbasse, Rafael Mendoza-Arriaga
The Smile of certain Lévy-type Models
Antoine Jacquier, Matthew Lorig