Matthew Lorig

University of Washington - Applied Mathematics

Associate Professor

Seattle, WA

United States

SCHOLARLY PAPERS

26

DOWNLOADS
Rank 21,273

SSRN RANKINGS

Top 21,273

in Total Papers Downloads

2,217

CITATIONS
Rank 10,477

SSRN RANKINGS

Top 10,477

in Total Papers Citations

74

Scholarly Papers (26)

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 462 (60,144)
Citation 7

Abstract:

Loading...

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 (680,701)
Citation 2
  • Add to Cart

Abstract:

Loading...

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
University of California, Santa Barbara (UCSB) - Statistics & Applied Probablity, University of Toronto - Department of Statistics and University of Washington - Applied Mathematics
Downloads 352 (83,869)
Citation 1

Abstract:

Loading...

Spectral Methods, Stochastic Volatility, Barrier Options

3.
Downloads 284 (106,283)
Citation 2

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 284 (105,710)

Abstract:

Loading...

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
Downloads 0
  • Add to Cart

Abstract:

Loading...

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 192 (156,743)
Citation 2

Abstract:

Loading...

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 83 (296,752)

Abstract:

Loading...

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 77 (310,293)
Citation 3

Abstract:

Loading...

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 75 (315,052)

Abstract:

Loading...

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 72 (322,345)
Citation 1

Abstract:

Loading...

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 62 (348,946)
Citation 1

Abstract:

Loading...

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

10.

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 57 (363,688)
Citation 1

Abstract:

Loading...

11.

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 56 (366,807)

Abstract:

Loading...

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

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 55 (369,950)
Citation 8

Abstract:

Loading...

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

13.

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 53 (376,278)

Abstract:

Loading...

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

14.

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 51 (382,788)

Abstract:

Loading...

stochastic volatility, time change, option pricing

15.

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 (403,458)

Abstract:

Loading...

CEV, Lévy, Local volatility, implied volatility, default

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 44 (407,031)

Abstract:

Loading...

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 38 (430,148)

Abstract:

Loading...

18.

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 37 (434,209)
Citation 1

Abstract:

Loading...

19.

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 33 (450,901)
Citation 4

Abstract:

Loading...

parabolic PDE, asymptotic expansion, singular perturbation, analytical approximation

20.

Indifference Prices, Implied Volatilities and Implied Sharpe Ratios

Number of pages: 34 Posted: 19 Dec 2014
Matthew Lorig
University of Washington - Applied Mathematics
Downloads 31 (460,050)
Citation 2

Abstract:

Loading...

21.

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 29 (469,590)
Citation 1

Abstract:

Loading...

Levy-type

22.

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 18 (536,500)

Abstract:

Loading...

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

23.

Optimal Bookmaking

Number of pages: 22 Posted: 09 Jul 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 9 (585,136)

Abstract:

Loading...

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

24.

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 (648,481)
  • Add to Cart

Abstract:

Loading...

indifference pricing, implied volatility, PDE asymptotics, local‐stochastic volatility, Heston

25.

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 (666,371)
  • Add to Cart

Abstract:

Loading...

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

26.

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 (666,371)
Citation 1
  • Add to Cart

Abstract:

Loading...

derivative pricing, stochastic volatility, local volatility, default, knock‐out, barrier, spectral theory, eigenfunction, singular perturbation theory, regular perturbation theory