Matthew Lorig

According to our database, Matthew Lorig authored at least 7 papers between 2015 and 2023.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2023

Short Communication: A Primer on Perpetuals.

Guillermo Angeris, Tarun Chitra, Alex Evans, Matthew Lorig

SIAM J. Financial Math., March, 2023

2021

Pricing Variance Swaps on Time-Changed Markov Processes.

Peter Carr, Roger Lee, Matthew Lorig

SIAM J. Financial Math., 2021

2018

Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility.

José E. Figueroa-López, Ruoting Gong, Matthew Lorig

SIAM J. Financial Math., 2018

2017

Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion.

John Armstrong, Martin Forde, Matthew Lorig, Hongzhong Zhang

SIAM J. Financial Math., 2017

2016

Variance Swaps on Defaultable Assets and Market Implied Time-Changes.

Matthew Lorig, Oriol Lozano-Carbassé, Rafael Mendoza-Arriaga

SIAM J. Financial Math., 2016

2015

Analytical Expansions for Parabolic Equations.

Matthew Lorig, Stefano Pagliarani, Andrea Pascucci

SIAM J. Appl. Math., 2015

Pricing approximations and error estimates for local Lévy-type models with default.

Matthew Lorig, Stefano Pagliarani, Andrea Pascucci

Comput. Math. Appl., 2015