Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models. - Jean-Pierre Fouque; Sebastian Jaimungal; Matthew J. Lorig (SIAM J. Financial Math., 2011)

A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model. - Jean-Pierre Fouque; Matthew J. Lorig (SIAM J. Financial Math., 2011)

The Smile of Certain Lévy-Type Models. - Antoine Jacquier; Matthew J. Lorig (SIAM J. Financial Math., 2013)

Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration. - Jean-Pierre Fouque; Matthew J. Lorig; Ronnie Sircar (Finance Stochastics, 2016)

Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio. - Matthew J. Lorig; Ronnie Sircar (SIAM J. Financial Math., 2016)

Optimal bookmaking. - Matthew J. Lorig; Zhou Zhou; Bin Zou 005 (Eur. J. Oper. Res., 2021)