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Matthew J. Lorig

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Journal Articles

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2021
[j6]
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  - journals/eor/LorigZZ21
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Matthew J. Lorig, Zhou Zhou, Bin Zou:
Optimal bookmaking. Eur. J. Oper. Res. 295(2): 560-574 (2021)
2016
[j5]
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Jean-Pierre Fouque, Matthew J. Lorig, Ronnie Sircar:
Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration. Finance Stochastics 20(3): 543-588 (2016)
[j4]
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Matthew J. Lorig, Ronnie Sircar:
Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio. SIAM J. Financial Math. 7(1): 418-447 (2016)
2013
[j3]
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  - journals/siamfm/JacquierL13
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Antoine Jacquier, Matthew J. Lorig:
The Smile of Certain Lévy-Type Models. SIAM J. Financial Math. 4(1): 804-830 (2013)
2011
[j2]
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Jean-Pierre Fouque, Matthew J. Lorig:
A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model. SIAM J. Financial Math. 2(1): 221-254 (2011)
[j1]
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Jean-Pierre Fouque, Sebastian Jaimungal, Matthew J. Lorig:
Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models. SIAM J. Financial Math. 2(1): 665-691 (2011)

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