Matthew Lorig
- A primer on perpetuals
2022/09/07 by Guillermo Angeris, Tarun Chitra, Angeris, Guillermo +5 · 3 citations
Economics, Econometrics and Finance · #Stochastic processes and financial applications #Financial Markets and Investment Strategies #Economic theories and models
- Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations & Implied Sharpe Ratio
2015/06/19 by Matthew Lorig, Ronnie Sircar, Lorig, Matthew +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
- Robust Replication of Volatility and Hybrid Derivatives on Jump\n Diffusions
2021/07/01 by Peter W. Carr, Carr, Peter, Roger Lee +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