Matthew J. Lorig

Publication Activity (10 Years)

Years Active: 2011-2021
Publications (10 Years): 3

Top Topics

Portfolio Optimization

Top Venues

SIAM J. Financial Math.

Finance Stochastics

Eur. J. Oper. Res.

Publications

Matthew J. Lorig, Zhou Zhou, Bin Zou
Optimal bookmaking. Eur. J. Oper. Res. 295 (2) (2021)
Matthew J. Lorig, Ronnie Sircar
Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio. SIAM J. Financial Math. 7 (1) (2016)
Jean-Pierre Fouque, Matthew J. Lorig, Ronnie Sircar
Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration. Finance Stochastics 20 (3) (2016)
Antoine Jacquier, Matthew J. Lorig
The Smile of Certain Lévy-Type Models. SIAM J. Financial Math. 4 (1) (2013)
Jean-Pierre Fouque, Matthew J. Lorig
A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model. SIAM J. Financial Math. 2 (1) (2011)
Jean-Pierre Fouque, Sebastian Jaimungal, Matthew J. Lorig
Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models. SIAM J. Financial Math. 2 (1) (2011)