Matthew Lorig

Available identifiers

zbMath Open lorig.matthew-jMaRDI QIDQ309156

List of research outcomes

Publication	Date of Publication	Type
Optimal times to buy and sell a home	2024-04-24	Paper
Short Communication: A Primer on Perpetuals	2023-06-01	Paper
Options on bonds: implied volatilities from affine short-rate dynamics	2022-06-13	Paper
Bond indifference prices	2021-12-01	Paper
Optimal bookmaking	2021-11-05	Paper
Optimal Trading with Differing Trade Signals	2021-06-17	Paper
The implied Sharpe ratio	2020-12-07	Paper
Pricing approximations and error estimates for local Lévy-type models with default	2020-10-08	Paper
On Carr and Lee’s Correlation Immunization Strategy	2019-06-18	Paper
A Mathematical Analysis of Technical Analysis	2019-06-03	Paper
OPTIMAL LIQUIDATION UNDER STOCHASTIC PRICE IMPACT	2019-04-18	Paper
Asymptotics for $$d$$ -Dimensional Lévy-Type Processes	2018-12-11	Paper
Optimal static quadratic hedging	2018-11-14	Paper
Multiscale exponential Lévy-type models	2018-09-19	Paper
Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility	2018-04-16	Paper
INDIFFERENCE PRICES AND IMPLIED VOLATILITIES	2018-04-13	Paper
LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS	2017-10-24	Paper
EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS	2017-07-21	Paper
Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion	2017-02-16	Paper
Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration	2016-09-07	Paper
Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio	2016-08-17	Paper
Variance swaps on defaultable assets and market implied time-changes	2016-06-15	Paper
From characteristic functions to implied volatility expansions	2015-11-06	Paper
Analytical Expansions for Parabolic Equations	2015-07-21	Paper
A family of density expansions for Lévy-type processes	2015-02-26	Paper
PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH	2014-05-14	Paper
The exact smile of certain local volatility models	2014-02-20	Paper
The smile of certain Lévy-type models	2014-01-23	Paper
Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models	2012-04-19	Paper
TIME-CHANGED FAST MEAN-REVERTING STOCHASTIC VOLATILITY MODELS	2012-03-13	Paper
A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model	2011-05-02	Paper

Research outcomes over time

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