Matthew Lorig

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Andrea PascucciUniversity of BolognaVerified email at unibo.it
Stefano PagliaraniDipartimento di Matematica, Università di BolognaVerified email at unibo.it
Jean-Pierre FouqueUniversity of California Santa BarbaraVerified email at pstat.ucsb.edu
Tim LeungBoeing Professor of Applied Mathematics, Computational Finance & Risk Management (CFRM) ProgramVerified email at uw.edu
Peter CarrDepartment Chair, Finance and Risk Engineering, Tandon School, NYUVerified email at nyu.edu
Weston D BargerVerified email at uw.edu
Antoine JacquierImperial College LondonVerified email at imperial.ac.uk
Bin ZouAssociate Professor, Department of Mathematics, University of ConnecticutVerified email at uconn.edu
Zhou ZhouSchool of Mathematics and Statistics, University of SydneyVerified email at sydney.edu.au
Rafael Mendoza ArriagaSS&C Algorithmics Director of Financial Risk Quantitative ResearchVerified email at sscinc.com
Sebastian JaimungalUniversity of TorontoVerified email at utoronto.ca
Ruoting GongMathematical Reviews, American Mathematical SocietyVerified email at ams.org
Martin FordeKing's College LondonVerified email at kcl.ac.uk
John ArmstrongKing's College LondonVerified email at kcl.ac.uk
Ryan DonnellyKing's College LondonVerified email at kcl.ac.uk
Tarun ChitraGauntletVerified email at gauntlet.network
Guillermo AngerisBain Capital CryptoVerified email at baincapital.com
Alex EvansPrincipal Research Scientist, NVIDIAVerified email at nvidia.com
Ankush AgarwalDepartment of Statistical and Actuarial Sciences, University of Western OntarioVerified email at uwo.ca
Jose E Figueroa LopezDepartment of Mathematics and Statistics, Washington University in St. LouisVerified email at wustl.edu

Matthew Lorig

Other namesMatt Lorig, Matthew J. Lorig

University of Washington

Verified email at uw.edu - Homepage

Financial Mathematics Crypto DeFi


Title Sort by citations Sort by year Sort by title	Cited by Cited by	Year
Explicit implied volatilities for multifactor local‐stochastic volatility models M Lorig, S Pagliarani, A Pascucci Mathematical Finance 27 (3), 926-960, 2017	94*	2017
A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model F Jean-Pierre, M Lorig Quantitative Finance Papers, 2010	68*	2010
Analytical expansions for parabolic equations M Lorig, S Pagliarani, A Pascucci SIAM Journal on Applied Mathematics 75 (2), 468-491, 2015	55	2015
Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration JP Fouque, M Lorig, R Sircar Finance and Stochastics 20 (3), 543-588, 2016	48*	2016
Optimal liquidation under stochastic price impact W Barger, M Lorig International Journal of Theoretical and Applied Finance 22 (02), 1850059, 2019	33	2019
Portfolio optimization under local-stochastic volatility: Coefficient taylor series approximations and implied sharpe ratio M Lorig, R Sircar SIAM Journal on Financial Mathematics 7 (1), 418-447, 2016	33	2016
A family of density expansions for Lévy-type processes with default M Lorig, S Pagliarani, A Pascucci Annals of Applied Probability, 2014	33*	2014
Leveraged ETF implied volatilities from ETF dynamics T Leung, M Lorig, A Pascucci Mathematical Finance 27 (4), 1035-1068, 2017	32	2017
Optimal static quadratic hedging T Leung, M Lorig Quantitative Finance 16 (9), 1341-1355, 2016	27	2016
Pricing derivatives on multiscale diffusions: An eigenfunction expansion approach M Lorig Mathematical Finance 24 (2), 331-363, 2014	27	2014
Spectral decomposition of option prices in fast mean-reverting stochastic volatility models JP Fouque, S Jaimungal, MJ Lorig SIAM Journal on Financial Mathematics 2 (1), 665-691, 2011	25	2011
The smile of certain Lévy-type models A Jacquier, M Lorig SIAM Journal on Financial Mathematics 4 (1), 804-830, 2013	19	2013
From characteristic functions to implied volatility expansions A Jacquier, M Lorig Advances in Applied Probability 47 (3), 837-857, 2015	17	2015
A Taylor series approach to pricing and implied volatility for local–stochastic volatility models M Lorig, S Pagliarani, A Pascucci Journal of Risk 17 (2), 2014	17	2014
Small-time asymptotics under local-stochastic volatility with a jump-to-default: curvature and the heat kernel expansion J Armstrong, M Forde, M Lorig, H Zhang SIAM Journal on Financial Mathematics 8 (1), 82-113, 2017	16	2017
The exact smile of certain local volatility models M Lorig Quantitative finance 13 (6), 897-905, 2013	16	2013
Optimal trading with differing trade signals R Donnelly, M Lorig Applied Mathematical Finance 27 (4), 317-344, 2020	13	2020
Variance swaps on defaultable assets and market implied time-changes M Lorig, O Lozano-Carbassé, R Mendoza-Arriaga SIAM Journal on Financial Mathematics 7 (1), 273-307, 2016	13	2016
Indifference prices and implied volatilities M Lorig Mathematical Finance 28 (1), 372-408, 2018	11	2018
Stochastic volatility: Modeling and asymptotic approaches to option pricing and portfolio selection M Lorig, R Sircar Financial Signal Processing and Machine Learning, 135-161, 2016	11	2016

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