Lorig, Matthew
- A primer on perpetuals
2022/09/07 by Guillermo Angeris, Angeris, Guillermo, Tarun Chitra +5 · 2 citations
Economics, Econometrics and Finance · #Stochastic processes and financial applications #Financial Markets and Investment Strategies #Economic theories and models
- From characteristic functions to implied volatility expansions
2012/07/01 by Jacquier, Antoine, Lorig, Matthew · 1 citation
#Computational Finance (q-fin.CP) #FOS: Economics and business #General Finance (q-fin.GN) #Pricing of Securities (q-fin.PR)
- Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations & Implied Sharpe Ratio
2015/06/19 by Matthew Lorig, Lorig, Matthew, Ronnie Sircar +1 · 1 citation
Economics, Econometrics and Finance · #Computational Finance (q-fin.CP) #FOS: Economics and business #Financial Risk and Volatility Modeling #Monetary Policy and Economic Impact #Stochastic processes and financial applications
- Pricing Variance Swaps on Time-Changed Markov Processes
2017/05/02 by Carr, Peter, Lee, Roger, Lorig, Matthew · 1 citation
#FOS: Economics and business #Mathematical Finance (q-fin.MF)
- Robust Replication of Volatility and Hybrid Derivatives on Jump\n Diffusions
2021/07/01 by Peter W. Carr, Roger Lee, Carr, Peter +3 · 1 citation
Economics, Econometrics and Finance · Social Sciences · #FOS: Economics and business #Financial Risk and Volatility Modeling #Insurance, Mortality, Demography, Risk Management #Mathematical Finance (q-fin.MF) #Stochastic processes and financial applications