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Matthew Lorig
Matthew Lorig
Altri nomiMatt Lorig, Matthew J. Lorig
University of Washington
Email verificata su uw.edu - Home page
Titolo
Citata da
Citata da
Anno
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
552015
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
332019
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
332016
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
322017
Optimal static quadratic hedging
T Leung, M Lorig
Quantitative Finance 16 (9), 1341-1355, 2016
272016
Pricing derivatives on multiscale diffusions: An eigenfunction expansion approach
M Lorig
Mathematical Finance 24 (2), 331-363, 2014
272014
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
252011
The smile of certain Lévy-type models
A Jacquier, M Lorig
SIAM Journal on Financial Mathematics 4 (1), 804-830, 2013
192013
From characteristic functions to implied volatility expansions
A Jacquier, M Lorig
Advances in Applied Probability 47 (3), 837-857, 2015
172015
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
172014
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
162017
The exact smile of certain local volatility models
M Lorig
Quantitative finance 13 (6), 897-905, 2013
162013
Optimal trading with differing trade signals
R Donnelly, M Lorig
Applied Mathematical Finance 27 (4), 317-344, 2020
132020
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
132016
Indifference prices and implied volatilities
M Lorig
Mathematical Finance 28 (1), 372-408, 2018
112018
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
112016
Il sistema al momento non può eseguire l'operazione. Riprova più tardi.
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