Matthew Lorig

University of Washington - Applied Mathematics

Associate Professor

Seattle, WA

United States

SCHOLARLY PAPERS

27

DOWNLOADS
Rank 26,826

SSRN RANKINGS

Top 26,826

in Total Papers Downloads

3,224

SSRN CITATIONS
Rank 13,618

SSRN RANKINGS

Top 13,618

in Total Papers Citations

38

CROSSREF CITATIONS

61

Scholarly Papers (27)

1.

Explicit Implied Volatilities for Multifactor Local-Stochastic Volatility Models

Number of pages: 36 Posted: 25 Jun 2013 Last Revised: 28 Nov 2014
Matthew Lorig, Stefano Pagliarani and Andrea Pascucci
University of Washington - Applied Mathematics, DEAMS, Università di Trieste and University of Bologna - Department of Mathematics
Downloads 537 (87,185)
Citation 7

Abstract:

Loading...

local-stochastic volatility, implied volatility, Heston, CEV, SABR

2.

Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models

Fouque, Jean-Pierre, Sebastian Jaimungal, and Matthew J. Lorig. "Spectral decomposition of option prices in fast mean-reverting stochastic volatility models." SIAM Journal on Financial Mathematics 2.1 (2011): 665-691.
Number of pages: 22 Posted: 03 Aug 2010 Last Revised: 27 Apr 2015
University of California, Santa Barbara (UCSB) - Statistics & Applied Probablity, University of Toronto - Department of Statistics and University of Washington - Applied Mathematics
Downloads 389 (127,845)
Citation 2

Abstract:

Loading...

Spectral Methods, Stochastic Volatility, Barrier Options

3.

Leveraged ETF Implied Volatilities from ETF Dynamics

Mathematical Finance, Forthcoming
Number of pages: 32 Posted: 28 Apr 2014 Last Revised: 16 Dec 2015
Tim Leung, Matthew Lorig and Andrea Pascucci
University of Washington - Department of Applied Math, University of Washington - Applied Mathematics and University of Bologna - Department of Mathematics
Downloads 351 (143,338)
Citation 1

Abstract:

Loading...

implied volatility, leveraged ETF, moneyness scaling, local stochastic volatility

4.

Optimal Static Quadratic Hedging

Quantitative Finance, vol. 16, issue 9, pp.1341-1355, 2016
Number of pages: 33 Posted: 07 Jun 2015 Last Revised: 23 Feb 2019
Tim Leung and Matthew Lorig
University of Washington - Department of Applied Math and University of Washington - Applied Mathematics
Downloads 253 (201,452)
Citation 3

Abstract:

Loading...

5.

A Mathematical Analysis of Technical Analysis

A Mathematical Analysis of Technical Analysis. Applied Mathematical Finance, 26(1), 38-68, 2019
Number of pages: 29 Posted: 30 Jun 2019
Matthew Lorig, Zhou Zhou and Bin Zou
University of Washington - Applied Mathematics, The University of Sydney - School of Mathematics and University of Connecticut - Department of Mathematics
Downloads 115 (395,349)

Abstract:

Loading...

Long-term growth; Continuous-time Markov chain; Moving average; Optimal investment; Ornstein-Uhlenbeck process; Partial information; Simulation; Utility maximization

6.

Pricing Approximations and Error Estimates for Local Levy-Type Models with Default

Annals of Applied Probability, 2014, Forthcoming
Number of pages: 43 Posted: 29 Dec 2013 Last Revised: 28 Nov 2014
Matthew Lorig, Stefano Pagliarani and Andrea Pascucci
University of Washington - Applied Mathematics, DEAMS, Università di Trieste and University of Bologna - Department of Mathematics
Downloads 111 (405,647)

Abstract:

Loading...

7.

A Taylor Series Approach to Pricing and Implied Vol for LSV Models

Number of pages: 10 Posted: 24 Aug 2013
Matthew Lorig, Stefano Pagliarani and Andrea Pascucci
University of Washington - Applied Mathematics, DEAMS, Università di Trieste and University of Bologna - Department of Mathematics
Downloads 105 (421,996)
Citation 3

Abstract:

Loading...

8.

From Characteristic Functions to Implied Volatility Expansions

Number of pages: 25 Posted: 01 Jul 2012 Last Revised: 09 Jul 2013
Antoine (Jack) Jacquier and Matthew Lorig
Imperial College London and University of Washington - Applied Mathematics
Downloads 101 (433,715)
Citation 4

Abstract:

Loading...

Implied volatility, Exponential Lévy

9.

The Exact Smile of some Local Stochastic Volatility Models

Number of pages: 16 Posted: 03 Jul 2012 Last Revised: 31 Jul 2012
Matthew Lorig
University of Washington - Applied Mathematics
Downloads 97 (445,596)
Citation 1

Abstract:

Loading...

CEV, Local Volatility, Stochastic Volatility, Implied Volatility, Volatility Smile

10.

Optimal Trading with Differing Trade Signals

Number of pages: 28 Posted: 16 Jul 2020 Last Revised: 12 Oct 2020
Ryan Francis Donnelly and Matthew Lorig
King's College London and University of Washington - Applied Mathematics
Downloads 92 (461,203)

Abstract:

Loading...

algorithmic trading, mean-field games

11.

Optimal Bookmaking

Accepted for publication in European Journal of Operational Research
Number of pages: 35 Posted: 09 Jul 2019 Last Revised: 06 Mar 2021
Matthew Lorig, Zhou Zhou and Bin Zou
University of Washington - Applied Mathematics, The University of Sydney - School of Mathematics and University of Connecticut - Department of Mathematics
Downloads 87 (477,367)

Abstract:

Loading...

HJB equation; optimization; Poisson process; sports betting; stochastic control; utility

12.

A Family of Density Expansions for Lévy-Type Processes

Pagliarani, S., A. Pascucci, and C. Riga (2013). Adjoint expansions in local lévy models. SIAM J. Finan. Math. 4(1), 265–296.
Number of pages: 30 Posted: 07 Apr 2013 Last Revised: 28 Dec 2013
Matthew Lorig, Stefano Pagliarani and Andrea Pascucci
University of Washington - Applied Mathematics, DEAMS, Università di Trieste and University of Bologna - Department of Mathematics
Downloads 82 (494,825)
Citation 8

Abstract:

Loading...

Local volatility, Lévy-type process, Asymptotic expansion, Pseudo-differential calculus, Defaultable asset

13.

Variance Swaps on Defaultable Assets and Market Implied Time-Changes

Number of pages: 36 Posted: 10 Sep 2012 Last Revised: 20 Jun 2015
University of Washington - Applied Mathematics, Princeton University - Bendheim Center for Finance and University of Texas at Austin - Department of Information, Risk and Operations Management
Downloads 82 (494,825)
Citation 2

Abstract:

Loading...

14.

Exponential Lévy Models with Stochastic Volatility and Stochastic Jump-Intensity

Number of pages: 20 Posted: 10 May 2012 Last Revised: 12 May 2012
Matthew Lorig
University of Washington - Applied Mathematics
Downloads 81 (498,480)
Citation 3

Abstract:

Loading...

Exponential Levy, Stochastic Volatility, Stochastic Jump Intensity, Spectral Theory, Perturbaton Theory

15.

A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model

Number of pages: 34 Posted: 05 Aug 2010
Jean-Pierre Fouque and Matthew Lorig
North Carolina State University - Department of Mathematics and University of Washington - Applied Mathematics
Downloads 79 (505,774)
Citation 3

Abstract:

Loading...

Stochastic volatility, Heston model, fast mean-reversion, asymptotics, implied volatility smile/skew

16.

Robust Replication of Barrier-Style Claims on Price and Volatility

Number of pages: 36 Posted: 06 Aug 2015
Peter Carr and Matthew Lorig
New York University Finance and Risk Engineering and University of Washington - Applied Mathematics
Downloads 77 (513,424)
Citation 3

Abstract:

Loading...

robust pricing, robust hedging, knock-in, knock-out, rebate, barrier, quadratic variation

17.

A Primer on Perpetuals

Number of pages: 13 Posted: 23 Sep 2022
Stanford University, Gauntlet Networks, Bain Capital and University of Washington - Applied Mathematics
Downloads 69 (545,628)

Abstract:

Loading...

Defi, Perpetuals, Cryptocurrencies

18.

Analytical Expansions for Parabolic Equations

Number of pages: 24 Posted: 14 Dec 2013 Last Revised: 28 Nov 2014
Matthew Lorig, Stefano Pagliarani and Andrea Pascucci
University of Washington - Applied Mathematics, DEAMS, Università di Trieste and University of Bologna - Department of Mathematics
Downloads 67 (554,395)
Citation 4

Abstract:

Loading...

parabolic PDE, asymptotic expansion, singular perturbation, analytical approximation

19.

Portfolio Optimization Under Local-Stochastic Volatility: Coefficient Taylor Series Approximations & Implied Sharpe Ratio

Number of pages: 27 Posted: 21 Jun 2015
Matthew Lorig and Ronnie Sircar
University of Washington - Applied Mathematics and Princeton University - Department of Operations Research and Financial Engineering
Downloads 66 (558,656)
Citation 3

Abstract:

Loading...

20.

Pricing Derivatives on Multiscale Diffusions: An Eigenfunction Expansion Approach

Number of pages: 39 Posted: 05 Sep 2011 Last Revised: 07 Apr 2012
Matthew Lorig
University of Washington - Applied Mathematics
Downloads 65 (563,174)

Abstract:

Loading...

derivative pricing, stochastic volatility, local volatility, default, knock-out, barrier, spectral theory, eigenfunction, singular perturbation theory, regualar perturbation theory

21.

Second Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis & Calibration

Number of pages: 33 Posted: 31 Aug 2012 Last Revised: 18 Apr 2015
Jean-Pierre Fouque, Matthew Lorig and Ronnie Sircar
University of California, Santa Barbara (UCSB) - Statistics & Applied Probablity, University of Washington - Applied Mathematics and Princeton University - Department of Operations Research and Financial Engineering
Downloads 64 (567,638)
Citation 8

Abstract:

Loading...

22.

Time-Changed Fast Mean-Reverting Stochastic Volatility Models

Number of pages: 25 Posted: 26 Oct 2010 Last Revised: 07 Apr 2012
Matthew Lorig
University of Washington - Applied Mathematics
Downloads 59 (590,731)

Abstract:

Loading...

stochastic volatility, time change, option pricing

23.

The Smile of Certain Lévy-Type Models

Number of pages: 31 Posted: 08 Jul 2012 Last Revised: 19 Apr 2013
Antoine (Jack) Jacquier and Matthew Lorig
Imperial College London and University of Washington - Applied Mathematics
Downloads 57 (605,754)

Abstract:

Loading...

CEV, Lévy, Local volatility, implied volatility, default

24.

Asymptotics for d-Dimensional Levy-Type Processes

Number of pages: 20 Posted: 12 Apr 2014 Last Revised: 28 Nov 2014
Matthew Lorig, Stefano Pagliarani and Andrea Pascucci
University of Washington - Applied Mathematics, DEAMS, Università di Trieste and University of Bologna - Department of Mathematics
Downloads 48 (648,797)
Citation 1

Abstract:

Loading...

Levy-type

25.

Indifference Prices, Implied Volatilities and Implied Sharpe Ratios

Number of pages: 34 Posted: 19 Dec 2014
Matthew Lorig
University of Washington - Applied Mathematics
Downloads 46 (660,331)
Citation 2

Abstract:

Loading...

26.

Bond Indifference Prices

Quantitative Finance, Forthcoming
Number of pages: 23 Posted: 19 Jan 2021
Matthew Lorig and Bin Zou
University of Washington - Applied Mathematics and University of Connecticut - Department of Mathematics
Downloads 44 (672,102)

Abstract:

Loading...

Bond, Pricing, Risk Neutral, Stochastic Interest, Yield

27.

A Taylor Series Approach to Pricing and Implied Volatility for Local–Stochastic Volatility Models

Journal of Risk, Vol. 17, No. 2, 2014
Number of pages: 18 Posted: 09 Jun 2016
Matthew Lorig, Stefano Pagliarani and Andrea Pascucci
University of Washington - Applied Mathematics, DEAMS, Università di Trieste and University of Bologna - Department of Mathematics
Downloads 0 (1,030,294)
Citation 3
  • Add to Cart

Abstract:

Loading...

Taylor series, local–stochastic volatility, time-dependent drift, diffusion coefficients