Edit Profile (opens in new tab) Lorig, Matthew J. Co-Author Distance Author ID: lorig.matthew-j Published as: Lorig, Matthew; Lorig, Matthew J. External Links: MGP · ORCID Documents Indexed: 33 Publications since 2011 Co-Authors: 25 Co-Authors with 29 Joint Publications 505 Co-Co-Authors all top 5 Co-Authors 4 single-authored 6 Pascucci, Andrea 5 Pagliarani, Stefano 3 Carr, Peter Paul 3 Fouque, Jean-Pierre 3 Zou, Bin 2 Jacquier, Antoine 2 Leung, Tim 2 Lozano-Carbassé, Oriol 2 Sircar, Ronnie 2 Zhou, Zhou 1 Agarwal, Ankush 1 Angeris, Guillermo 1 Armstrong, John 1 Barger, Weston 1 Chitra, Tarun 1 Donnelly, Ryan 1 Evans, Alex 1 Figueroa-López, José E. 1 Forde, Martin 1 Gong, Ruoting 1 Jaimungal, Sebastian 1 Lin, Jimin 1 Mendoza-Arriaga, Rafael 1 Suaysom, Natchanon 1 Zhang, Hongzhong all top 5 Serials 9 SIAM Journal on Financial Mathematics 5 Mathematical Finance 5 Quantitative Finance 4 Applied Mathematical Finance 2 International Journal of Theoretical and Applied Finance 1 Advances in Applied Probability 1 Computers & Mathematics with Applications 1 The Annals of Applied Probability 1 European Journal of Operational Research 1 SIAM Journal on Applied Mathematics 1 Finance and Stochastics 1 Annals of Finance all top 5 Fields 33 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 16 Probability theory and stochastic processes (60-XX) 5 Partial differential equations (35-XX) 4 Approximations and expansions (41-XX) 2 Operator theory (47-XX) 2 Systems theory; control (93-XX) 1 Global analysis, analysis on manifolds (58-XX) 1 Statistics (62-XX) 1 Numerical analysis (65-XX) 1 Mechanics of deformable solids (74-XX) 1 Operations research, mathematical programming (90-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 28 Publications have been cited 206 times in 143 Documents Cited by ▼ Year ▼ Explicit implied volatilities for multifactor local-stochastic volatility models. Zbl 1422.91713 Lorig, Matthew; Pagliarani, Stefano; Pascucci, Andrea 30 2017 Analytical expansions for parabolic equations. Zbl 1332.35140 Lorig, Matthew; Pagliarani, Stefano; Pascucci, Andrea 23 2015 Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration. Zbl 1369.91180 Fouque, Jean-Pierre; Lorig, Matthew; Sircar, Ronnie 20 2016 A fast mean-reverting correction to Heston’s stochastic volatility model. Zbl 1217.91189 Fouque, Jean-Pierre; Lorig, Matthew J. 18 2011 A family of density expansions for Lévy-type processes. Zbl 1329.60122 Lorig, Matthew; Pagliarani, Stefano; Pascucci, Andrea 15 2015 Portfolio optimization under local-stochastic volatility: coefficient Taylor series approximations and implied Sharpe ratio. Zbl 1410.91423 Lorig, Matthew; Sircar, Ronnie 12 2016 Spectral decomposition of option prices in fast mean-reverting stochastic volatility models. Zbl 1255.91127 Fouque, Jean-Pierre; Jaimungal, Sebastian; Lorig, Matthew J. 9 2011 Small-time asymptotics under local-stochastic volatility with a jump-to-default: curvature and the heat kernel expansion. Zbl 1356.91086 Armstrong, John; Forde, Martin; Lorig, Matthew; Zhang, Hongzhong 8 2017 The smile of certain Lévy-type models. Zbl 1282.91332 Jacquier, Antoine; Lorig, Matthew 8 2013 Indifference prices and implied volatilities. Zbl 1403.91347 Lorig, Matthew 7 2018 Optimal liquidation under stochastic price impact. Zbl 1411.91477 Barger, Weston; Lorig, Matthew 7 2019 Leveraged ETF implied volatilities from ETF dynamics. Zbl 1411.91572 Leung, Tim; Lorig, Matthew; Pascucci, Andrea 6 2017 Variance swaps on defaultable assets and market implied time-changes. Zbl 1338.91141 Lorig, Matthew; Lozano-Carbassé, Oriol; Mendoza-Arriaga, Rafael 6 2016 From characteristic functions to implied volatility expansions. Zbl 1403.91343 Jacquier, Antoine; Lorig, Matthew 5 2015 The exact smile of certain local volatility models. Zbl 1281.91128 Lorig, Matthew 5 2013 Pricing derivatives on multiscale diffusions: an eigenfunction expansion approach. Zbl 1291.91206 Lorig, Matthew 5 2014 Optimal static quadratic hedging. Zbl 1400.91599 Leung, Tim; Lorig, Matthew 4 2016 Multiscale exponential Lévy-type models. Zbl 1398.91606 Lorig, Matthew; Lozano-Carbassé, Oriol 3 2015 Time-changed fast mean-reverting stochastic volatility models. Zbl 1233.91285 Lorig, Matthew 2 2011 Short-time expansions for call options on leveraged ETFs under exponential Lévy models with local volatility. Zbl 1408.91213 Figueroa-López, José E.; Gong, Ruoting; Lorig, Matthew 2 2018 Optimal bookmaking. Zbl 1487.91124 Lorig, Matthew; Zhou, Zhou; Zou, Bin 2 2021 Optimal trading with differing trade signals. Zbl 1466.91309 Donnelly, Ryan; Lorig, Matthew 2 2020 Robust replication of volatility and hybrid derivatives on jump diffusions. Zbl 1522.91267 Carr, Peter; Lee, Roger; Lorig, Matthew 2 2021 Pricing approximations and error estimates for local Lévy-type models with default. Zbl 1443.91298 Lorig, Matthew; Pagliarani, Stefano; Pascucci, Andrea 1 2015 A mathematical analysis of technical analysis. Zbl 1410.91424 Lorig, Matthew; Zhou, Zhou; Zou, Bin 1 2019 Options on bonds: implied volatilities from affine short-rate dynamics. Zbl 1492.91382 Lorig, Matthew; Suaysom, Natchanon 1 2022 Asymptotics for \(d\)-dimensional Lévy-type processes. Zbl 1418.91525 Lorig, Matthew; Pagliarani, Stefano; Pascucci, Andrea 1 2015 On Carr and Lee’s correlation immunization strategy. Zbl 1410.91458 Lin, Jimin; Lorig, Matthew 1 2019 Options on bonds: implied volatilities from affine short-rate dynamics. Zbl 1492.91382 Lorig, Matthew; Suaysom, Natchanon 1 2022 Optimal bookmaking. Zbl 1487.91124 Lorig, Matthew; Zhou, Zhou; Zou, Bin 2 2021 Robust replication of volatility and hybrid derivatives on jump diffusions. Zbl 1522.91267 Carr, Peter; Lee, Roger; Lorig, Matthew 2 2021 Optimal trading with differing trade signals. Zbl 1466.91309 Donnelly, Ryan; Lorig, Matthew 2 2020 Optimal liquidation under stochastic price impact. Zbl 1411.91477 Barger, Weston; Lorig, Matthew 7 2019 A mathematical analysis of technical analysis. Zbl 1410.91424 Lorig, Matthew; Zhou, Zhou; Zou, Bin 1 2019 On Carr and Lee’s correlation immunization strategy. Zbl 1410.91458 Lin, Jimin; Lorig, Matthew 1 2019 Indifference prices and implied volatilities. Zbl 1403.91347 Lorig, Matthew 7 2018 Short-time expansions for call options on leveraged ETFs under exponential Lévy models with local volatility. Zbl 1408.91213 Figueroa-López, José E.; Gong, Ruoting; Lorig, Matthew 2 2018 Explicit implied volatilities for multifactor local-stochastic volatility models. Zbl 1422.91713 Lorig, Matthew; Pagliarani, Stefano; Pascucci, Andrea 30 2017 Small-time asymptotics under local-stochastic volatility with a jump-to-default: curvature and the heat kernel expansion. Zbl 1356.91086 Armstrong, John; Forde, Martin; Lorig, Matthew; Zhang, Hongzhong 8 2017 Leveraged ETF implied volatilities from ETF dynamics. Zbl 1411.91572 Leung, Tim; Lorig, Matthew; Pascucci, Andrea 6 2017 Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration. Zbl 1369.91180 Fouque, Jean-Pierre; Lorig, Matthew; Sircar, Ronnie 20 2016 Portfolio optimization under local-stochastic volatility: coefficient Taylor series approximations and implied Sharpe ratio. Zbl 1410.91423 Lorig, Matthew; Sircar, Ronnie 12 2016 Variance swaps on defaultable assets and market implied time-changes. Zbl 1338.91141 Lorig, Matthew; Lozano-Carbassé, Oriol; Mendoza-Arriaga, Rafael 6 2016 Optimal static quadratic hedging. Zbl 1400.91599 Leung, Tim; Lorig, Matthew 4 2016 Analytical expansions for parabolic equations. Zbl 1332.35140 Lorig, Matthew; Pagliarani, Stefano; Pascucci, Andrea 23 2015 A family of density expansions for Lévy-type processes. Zbl 1329.60122 Lorig, Matthew; Pagliarani, Stefano; Pascucci, Andrea 15 2015 From characteristic functions to implied volatility expansions. Zbl 1403.91343 Jacquier, Antoine; Lorig, Matthew 5 2015 Multiscale exponential Lévy-type models. Zbl 1398.91606 Lorig, Matthew; Lozano-Carbassé, Oriol 3 2015 Pricing approximations and error estimates for local Lévy-type models with default. Zbl 1443.91298 Lorig, Matthew; Pagliarani, Stefano; Pascucci, Andrea 1 2015 Asymptotics for \(d\)-dimensional Lévy-type processes. Zbl 1418.91525 Lorig, Matthew; Pagliarani, Stefano; Pascucci, Andrea 1 2015 Pricing derivatives on multiscale diffusions: an eigenfunction expansion approach. Zbl 1291.91206 Lorig, Matthew 5 2014 The smile of certain Lévy-type models. Zbl 1282.91332 Jacquier, Antoine; Lorig, Matthew 8 2013 The exact smile of certain local volatility models. Zbl 1281.91128 Lorig, Matthew 5 2013 A fast mean-reverting correction to Heston’s stochastic volatility model. Zbl 1217.91189 Fouque, Jean-Pierre; Lorig, Matthew J. 18 2011 Spectral decomposition of option prices in fast mean-reverting stochastic volatility models. Zbl 1255.91127 Fouque, Jean-Pierre; Jaimungal, Sebastian; Lorig, Matthew J. 9 2011 Time-changed fast mean-reverting stochastic volatility models. Zbl 1233.91285 Lorig, Matthew 2 2011 all cited Publications top 5 cited Publications all top 5 Cited by 216 Authors 22 Lorig, Matthew J. 14 Pascucci, Andrea 13 Pagliarani, Stefano 5 Cartea, Álvaro 5 Fouque, Jean-Pierre 5 Kim, Jeong-Hoon 5 Sircar, Ronnie 4 Jaimungal, Sebastian 4 Mendoza-Arriaga, Rafael 4 Yoon, Ji-Hun 3 Agarwal, Ankush 3 Carr, Peter Paul 3 Cui, Zhenyu 3 Forde, Martin 3 Gobet, Emmanuel 3 Leung, Tim 3 Linetsky, Vadim 3 Mehrdoust, Farshid 3 Oosterlee, Cornelis Willebrordus 3 Pirjol, Dan 3 Sánchez-Betancourt, Leandro 3 Saporito, Yuri F. 3 Zhu, Lingjiong 2 Borovykh, Anastasia 2 Christara, Christina C. 2 Di Francesco, Marco 2 Diop, Sidy 2 Figueroa-López, José E. 2 Gulisashvili, Archil 2 Hamdi, Abdelouahed 2 Hu, Ruimeng 2 Li, Lingfei 2 Ma, Guiyuan 2 Madan, Dilip B. 2 Malyarenko, Anatoliy A. 2 Ni, Ying 2 Nistor, Victor 2 Noorani, Idin 2 Pignotti, Michele 2 Radoičić, Radoš 2 Recchioni, Maria Cristina 2 Silvestrov, Sergei D. 2 Tedeschi, Gabriele 2 Wang, King-Hang 2 Zhang, Hongzhong 1 Aït-Sahalia, Yacine 1 Albuhayri, Mohammed 1 Alibeiki, Hedayat 1 Alòs, Elisa 1 Araneda, Axel A. 1 Armstrong, John 1 Baltean-Lugojan, Radu 1 Bardi, Martino 1 Barger, Weston 1 Bichuch, Maxim 1 Bormetti, Giacomo 1 Brigo, Damiano 1 Burtnyak, I. V. 1 Canhanga, Betuel 1 Capponi, Agostino 1 Cesaroni, Annalisa 1 Chen, Xiaodong 1 Chen, Yuwei 1 Cheng, Wen 1 Choi, Jaehyuk 1 Choi, Sun-Yong 1 Chung, Tsz-Kin 1 Corsi, Fulvio 1 Dang, Duy Minh 1 Das, Kaustav 1 de Feo, Filippo 1 de Kort, J. P. 1 De Marchi, Gian Luca 1 De Vecchi, Francesco Carlo 1 del Carmen Calvo-Garrido, Maria 1 Diop, Sidi 1 Donnelly, Ryan 1 Echenim, Mnacho 1 Elliott, Robert James 1 Engström, Christopher 1 Fallah, Somayeh 1 Feng, Runhuan 1 Feng, Y. 1 Fukasawa, Masaaki 1 Gatheral, Jim 1 Ge, Xin 1 Ghosh, Abhijit 1 Gong, Ruoting 1 Grishenko, Olesya 1 Grzelak, Lech A. 1 Guo, Xunxiang 1 Ha, Mijin 1 Hamagami, Kunihiko 1 Han, Jinhui 1 Han, Xiao 1 Härdle, Wolfgang Karl 1 Hoencamp, J. H. 1 Horvath, Blanka 1 Hu, Lei 1 Huh, Jeonggyu ...and 116 more Authors all top 5 Cited in 59 Serials 19 Quantitative Finance 17 SIAM Journal on Financial Mathematics 11 International Journal of Theoretical and Applied Finance 7 European Journal of Operational Research 6 Applied Mathematical Finance 5 Finance and Stochastics 5 Mathematical Finance 4 Journal of Computational and Applied Mathematics 3 Journal of Mathematical Analysis and Applications 3 The Annals of Applied Probability 3 Probability in the Engineering and Informational Sciences 2 Computers & Mathematics with Applications 2 Chaos, Solitons and Fractals 2 Journal of Econometrics 2 Mathematics and Computers in Simulation 2 Journal of Economic Dynamics & Control 2 Communications in Statistics. Theory and Methods 2 Stochastic Processes and their Applications 2 Stochastics 2 Discrete and Continuous Dynamical Systems. Series S 2 Frontiers of Mathematical Finance 1 Journal of Mathematical Physics 1 Mathematical Methods in the Applied Sciences 1 Applied Mathematics and Computation 1 Applied Mathematics and Optimization 1 Automatica 1 BIT 1 Journal of Differential Equations 1 Journal of Optimization Theory and Applications 1 Mathematics of Operations Research 1 Operations Research 1 SIAM Journal on Control and Optimization 1 Insurance Mathematics & Economics 1 Applied Numerical Mathematics 1 Optimization 1 International Journal of Computer Mathematics 1 Journal of Statistical Computation and Simulation 1 SIAM Journal on Applied Mathematics 1 SIAM Journal on Scientific Computing 1 Journal of Inverse and Ill-Posed Problems 1 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 1 Discrete Dynamics in Nature and Society 1 Communications in Nonlinear Science and Numerical Simulation 1 Optimization and Engineering 1 The ANZIAM Journal 1 Decisions in Economics and Finance 1 Stochastic Models 1 Comptes Rendus. Mathématique. Académie des Sciences, Paris 1 ASTIN Bulletin 1 Multiscale Modeling & Simulation 1 Asia-Pacific Financial Markets 1 Journal of Industrial and Management Optimization 1 Journal of the Korean Statistical Society 1 Mathematics and Financial Economics 1 East Asian Mathematical Journal 1 Journal of Applied Mathematics & Informatics 1 Annals of Finance 1 Carpathian Mathematical Publications 1 International Journal of Systems Science. Principles and Applications of Systems and Integration all top 5 Cited in 15 Fields 127 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 67 Probability theory and stochastic processes (60-XX) 19 Systems theory; control (93-XX) 18 Numerical analysis (65-XX) 17 Partial differential equations (35-XX) 10 Statistics (62-XX) 10 Operations research, mathematical programming (90-XX) 7 Approximations and expansions (41-XX) 6 Calculus of variations and optimal control; optimization (49-XX) 3 Ordinary differential equations (34-XX) 2 Operator theory (47-XX) 1 Topological groups, Lie groups (22-XX) 1 Global analysis, analysis on manifolds (58-XX) 1 Computer science (68-XX) 1 Mechanics of deformable solids (74-XX) Citations by Year