Matthew Lorig

Publication Activity (10 Years)

Years Active: 2015-2023
Publications (10 Years): 5

Top Topics

Investment Strategies

Maximum Variance

Top Venues

SIAM J. Financial Math.

Comput. Math. Appl.

SIAM J. Appl. Math.

Publications

Guillermo Angeris, Tarun Chitra, Alex Evans, Matthew Lorig
Short Communication: A Primer on Perpetuals. SIAM J. Financial Math. 14 (1) (2023)
Peter Carr, Roger Lee, Matthew Lorig
Pricing Variance Swaps on Time-Changed Markov Processes. SIAM J. Financial Math. 12 (2) (2021)
José E. Figueroa-López, Ruoting Gong, Matthew Lorig
Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility. SIAM J. Financial Math. 9 (1) (2018)
John Armstrong, Martin Forde, Matthew Lorig, Hongzhong Zhang
Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion. SIAM J. Financial Math. 8 (1) (2017)
Matthew Lorig, Oriol Lozano-Carbassé, Rafael Mendoza-Arriaga
Variance Swaps on Defaultable Assets and Market Implied Time-Changes. SIAM J. Financial Math. 7 (1) (2016)
Matthew Lorig, Stefano Pagliarani, Andrea Pascucci
Pricing approximations and error estimates for local Lévy-type models with default. Comput. Math. Appl. 69 (10) (2015)
Matthew Lorig, Stefano Pagliarani, Andrea Pascucci
Analytical Expansions for Parabolic Equations. SIAM J. Appl. Math. 75 (2) (2015)