pith. sign in

Matthew Lorig

Identifiers

  • name variant Matthew Lorig 0.60 · backfill

Papers (28)

  1. Optimal Control of the Ethena Yield-Bearing Stablecoin q-fin.MF · 2026 · author #1
  2. A Calculus of Variations Approach to Stochastic Control math.OC · 2025 · author #1
  3. On Carr and Lee's correlation immunization strategy q-fin.MF · 2018 · author #2
  4. Optimal liquidation under stochastic price impact q-fin.TR · 2018 · author #2
  5. A Mathematical Analysis of Technical Analysis q-fin.MF · 2017 · author #1
  6. Approximate pricing of European and Barrier claims in a local-stochastic volatility setting q-fin.MF · 2016 · author #2
  7. Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential L\'evy models With Local Volatility q-fin.MF · 2016 · author #3
  8. Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations & Implied Sharpe Ratio q-fin.CP · 2015 · author #1
  9. Optimal Static Quadratic Hedging q-fin.MF · 2015 · author #2
  10. Indifference prices and implied volatilities q-fin.MF · 2014 · author #1
  11. Leveraged {ETF} implied volatilities from {ETF} dynamics q-fin.CP · 2014 · author #2
  12. Asymptotics for $d$-dimensional L\'evy-type processes q-fin.CP · 2014 · author #1
  13. A family of density expansions for L\'evy-type processes math.PR · 2013 · author #1
  14. Analytical expansions for parabolic equations math.AP · 2013 · author #1
  15. Small-time asymptotics for a general local-stochastic volatility model with a jump-to-default: curvature and the heat kernel expansion q-fin.PR · 2013 · author #3
  16. A Taylor series approach to pricing and implied vol for LSV models q-fin.CP · 2013 · author #1
  17. Explicit implied volatilities for multifactor local-stochastic volatility models q-fin.CP · 2013 · author #1
  18. Pricing approximations and error estimates for local L\'evy-type models with default q-fin.CP · 2013 · author #1
  19. Variance Swaps on Defaultable Assets and Market Implied Time-Changes q-fin.PR · 2012 · author #1
  20. Second Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis & Calibration q-fin.CP · 2012 · author #2
  21. The Smile of certain L\'evy-type Models q-fin.CP · 2012 · author #2
  22. The Exact Smile of some Local Volatility Models q-fin.CP · 2012 · author #1
  23. From characteristic functions to implied volatility expansions q-fin.CP · 2012 · author #2
  24. Exponential L\'evy-type models with stochastic volatility and stochastic jump-intensity q-fin.PR · 2012 · author #1
  25. Pricing Derivatives on Multiscale Diffusions: an Eigenfunction Expansion Approach q-fin.CP · 2011 · author #1
  26. Time-Changed Fast Mean-Reverting Stochastic Volatility Models q-fin.PR · 2010 · author #1
  27. A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model q-fin.PR · 2010 · author #2
  28. Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models q-fin.PR · 2010 · author #3

Mentions

  • 1404.6792 #2 · backfill · confidence 0.70 Matthew Lorig
  • 1404.3153 #1 · backfill · confidence 0.70 Matthew Lorig
  • 1312.7328 #1 · backfill · confidence 0.70 Matthew Lorig
  • 1312.3314 #1 · backfill · confidence 0.70 Matthew Lorig
  • 1312.2281 #3 · backfill · confidence 0.70 Matthew Lorig
  • 1308.5019 #1 · backfill · confidence 0.70 Matthew Lorig
  • 1306.5447 #1 · backfill · confidence 0.70 Matthew Lorig
  • 2509.01744 #1 · arxiv_oai · confidence 0.70 Matthew Lorig
  • 1304.1849 #1 · backfill · confidence 0.70 Matthew Lorig
  • 1209.0697 #1 · backfill · confidence 0.70 Matthew Lorig
  • 1208.5802 #2 · backfill · confidence 0.70 Matthew Lorig
  • 1207.1630 #2 · backfill · confidence 0.70 Matthew Lorig
  • 1207.0750 #1 · backfill · confidence 0.70 Matthew Lorig
  • 1207.0233 #2 · backfill · confidence 0.70 Matthew Lorig
  • 1205.2398 #1 · backfill · confidence 0.70 Matthew Lorig
  • 1109.0738 #1 · backfill · confidence 0.70 Matthew Lorig
  • 1010.5203 #1 · backfill · confidence 0.70 Matthew Lorig
  • 1007.4366 #2 · backfill · confidence 0.70 Matthew Lorig
  • 1007.4361 #3 · backfill · confidence 0.70 Matthew Lorig

Frequent Coauthors