Matthew Lorig
University of Washington
H-index: 16
North America-United States
Top articles of Matthew Lorig
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
Explicit caplet implied volatilities for quadratic term-structure models | International Journal of Financial Engineering | Matthew Lorig Natchanon Suaysom | 2024/3/27 |
Optimal positioning in derivative securities in incomplete markets | arXiv preprint arXiv:2403.00139 | Tim Leung Matthew Lorig Yoshihiro Shirai | 2024/2/29 |
A primer on perpetuals | SIAM Journal on Financial Mathematics | Guillermo Angeris Tarun Chitra Alex Evans Matthew Lorig | 2023/3/31 |
Options on bonds: implied volatilities from affine short-rate dynamics | Annals of Finance | Matthew Lorig Natchanon Suaysom | 2022/6 |
Optimal times to buy and sell a home | arXiv preprint arXiv:2203.05545 | Matthew Lorig Natchanon Suaysom | 2022/3/10 |
Optimal bookmaking | European Journal of Operational Research | Matthew Lorig Zhou Zhou Bin Zou | 2021/12/1 |
Semi-Robust Replication of Barrier-Style Claims on Price and Volatility | Applied Mathematical Finance | Peter Carr Roger Lee Matthew Lorig | 2021/11/2 |
Robust replication of volatility and hybrid derivatives on jump diffusions | Mathematical Finance | Peter Carr Roger Lee Matthew Lorig | 2021/10 |
Pricing variance swaps on time-changed Markov processes | SIAM Journal on Financial Mathematics | Peter Carr Roger Lee Matthew Lorig | 2021 |
Optimal trading with differing trade signals | Applied Mathematical Finance | Ryan Donnelly Matthew Lorig | 2020/7/3 |
The implied Sharpe ratio | Quantitative finance | Ankush Agarwal Matthew Lorig | 2020/6/2 |
Bond indifference prices and indifference yield curves | arXiv preprint arXiv:2007.09201 | Matthew Lorig | 2020/7/17 |
Co-Authors
