Matthew Lorig

University of Washington - Applied Mathematics

Associate Professor

Seattle, WA

United States

  • University of Washington - Applied Mathematics

SCHOLARLY PAPERS

28

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40

CROSSREF CITATIONS

82

Scholarly Papers (28)

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1.

Explicit Implied Volatilities for Multifactor Local-Stochastic Volatility Models

Downloads 503 ( 70,045)
Citation 23

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 502 (69,500)
Citation 7

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

Explicit Implied Volatilities for Multifactor Local‐Stochastic Volatility Models

Mathematical Finance, Vol. 27, Issue 3, pp. 926-960, 2017
Number of pages: 35 Posted: 15 Jun 2017
Matthew Lorig, Stefano Pagliarani and Andrea Pascucci
University of Washington - Applied Mathematics, DEAMS, Università di Trieste and University of Bologna - Department of Mathematics
Downloads 1 (822,899)
Citation 7
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implied volatility, local‐stochastic volatility, CEV, Heston, 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
Jean-Pierre Fouque, Sebastian Jaimungal and Matthew Lorig
University of California, Santa Barbara (UCSB) - Statistics & Applied Probablity, University of Toronto - Department of Statistics and University of Washington - Applied Mathematics
Downloads 356 (105,079)
Citation 2

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Spectral Methods, Stochastic Volatility, Barrier Options

3.

Leveraged ETF Implied Volatilities from ETF Dynamics

Downloads 305 (124,442)
Citation 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 305 (123,758)
Citation 1

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

Leveraged ETF Implied Volatilities from ETF Dynamics

Mathematical Finance, Vol. 27, Issue 4, pp. 1035-1068, 2017
Number of pages: 34 Posted: 19 Sep 2017
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
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Citation 1
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implied volatility, local‐stochastic volatility, leveraged exchange‐traded fund, implied volatility scaling

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 214 (177,222)
Citation 3

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5.

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 89 (350,716)

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6.

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 84 (363,376)
Citation 3

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7.

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 80 (374,046)
Citation 1

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

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 80 (374,046)
Citation 4

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Implied volatility, Exponential Lévy

9.

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 63 (425,978)
Citation 2

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

10.

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 62 (429,402)
Citation 1

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

11.

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 60 (436,449)
Citation 8

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

12.

Variance Swaps on Defaultable Assets and Market Implied Time-Changes

Number of pages: 36 Posted: 10 Sep 2012 Last Revised: 20 Jun 2015
Matthew Lorig, Oriol Lozano-Carbasse and Rafael Mendoza-Arriaga
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 60 (436,449)
Citation 2

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13.

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 60 (436,449)
Citation 3

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

14.

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 53 (462,183)

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

15.

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 52 (466,083)

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stochastic volatility, time change, option pricing

16.

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 47 (486,541)

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

17.

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 46 (490,832)
Citation 3

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18.

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 45 (495,262)

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

19.

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 45 (495,262)

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CEV, Lévy, Local volatility, implied volatility, default

20.

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 44 (499,752)

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algorithmic trading, mean-field games

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 43 (504,217)
Citation 7

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22.

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 36 (537,830)
Citation 4

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parabolic PDE, asymptotic expansion, singular perturbation, analytical approximation

23.

Indifference Prices, Implied Volatilities and Implied Sharpe Ratios

Number of pages: 34 Posted: 19 Dec 2014
Matthew Lorig
University of Washington - Applied Mathematics
Downloads 34 (548,317)
Citation 2

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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 32 (559,123)
Citation 1

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Levy-type

25.

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 26 (594,930)

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Bond, Pricing, Risk Neutral, Stochastic Interest, Yield

26.

Indifference Prices and Implied Volatilities

Mathematical Finance, Vol. 28, Issue 1, pp. 372-408, 2018
Number of pages: 37 Posted: 17 Jan 2018
Matthew Lorig
University of Washington - Applied Mathematics
Downloads 1 (786,670)
Citation 2
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indifference pricing, implied volatility, PDE asymptotics, local‐stochastic volatility, Heston

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 (803,671)
Citation 2
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Taylor series, local–stochastic volatility, time-dependent drift, diffusion coefficients

28.

Pricing Derivatives on Multiscale Diffusions: An Eigenfunction Expansion Approach

Mathematical Finance, Vol. 24, Issue 2, pp. 331-363, 2014
Number of pages: 33 Posted: 06 Mar 2014
Matthew Lorig
University of Washington - Applied Mathematics
Downloads 0 (803,671)
Citation 1
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derivative pricing, stochastic volatility, local volatility, default, knock‐out, barrier, spectral theory, eigenfunction, singular perturbation theory, regular perturbation theory