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Author ID: lorig.matthew-j Recent zbMATH articles by "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

Publications by Year

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 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

Citations by Year