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

This page was built for person: Matthew Lorig