Pricing approximations and error estimates for local Lévy-type models with default. - Matthew Lorig; Stefano Pagliarani; Andrea Pascucci (Comput. Math. Appl., 2015)

Analytical Expansions for Parabolic Equations. - Matthew Lorig; Stefano Pagliarani; Andrea Pascucci (SIAM J. Appl. Math., 2015)

Variance Swaps on Defaultable Assets and Market Implied Time-Changes. - Matthew Lorig; Oriol Lozano-Carbassé; Rafael Mendoza-Arriaga (SIAM J. Financial Math., 2016)

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)

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)

Pricing Variance Swaps on Time-Changed Markov Processes. - Peter Carr; Roger Lee; Matthew Lorig (SIAM J. Financial Math., 2021)

Short Communication: A Primer on Perpetuals. - Guillermo Angeris; Tarun Chitra; Alex Evans; Matthew Lorig (SIAM J. Financial Math., 2023)