Matthew J. Lorig

According to our database1, Matthew J. Lorig authored at least 6 papers between 2011 and 2021.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of five.

Timeline

Legend:

Book 
In proceedings 
Article 
PhD thesis 
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Links

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Bibliography

2021
Optimal bookmaking.
Eur. J. Oper. Res., 2021

2016
Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio.
SIAM J. Financial Math., 2016

Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration.
Finance Stochastics, 2016

2013
The Smile of Certain Lévy-Type Models.
SIAM J. Financial Math., 2013

2011
A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model.
SIAM J. Financial Math., 2011

Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models.
SIAM J. Financial Math., 2011


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