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Matthew J. Lorig

According to our database1, Matthew J. Lorig authored at least 6 papers between 2011 and 2021.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of five.

Timeline

Legend:

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In proceedings 
Article 
PhD thesis 
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Links

On csauthors.net:

Bibliography

2021
Optimal bookmaking.
[BibTeX]
[DOI]
Matthew J. Lorig
,
Zhou Zhou
,
Bin Zou
Eur. J. Oper. Res., 2021

2016
Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio.
[BibTeX]
[DOI]
Matthew J. Lorig
,
Ronnie Sircar
SIAM J. Financial Math., 2016

Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration.
[BibTeX]
[DOI]
Jean-Pierre Fouque
,
Matthew J. Lorig
,
Ronnie Sircar
Finance Stochastics, 2016

2013
The Smile of Certain Lévy-Type Models.
[BibTeX]
[DOI]
Antoine Jacquier
,
Matthew J. Lorig
SIAM J. Financial Math., 2013

2011
A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model.
[BibTeX]
[DOI]
Jean-Pierre Fouque
,
Matthew J. Lorig
SIAM J. Financial Math., 2011

Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models.
[BibTeX]
[DOI]
Jean-Pierre Fouque
,
Sebastian Jaimungal
,
Matthew J. Lorig
SIAM J. Financial Math., 2011


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