Faculty

Institution

Unit

Venue

Matthew Lorig

Professor

University of Washington

Affiliations

College of Arts & Sciences

Department of Applied Mathematics

Matthew Lorig is currently serving as a College Of Arts & Sciences Professor at University of Washington.

Honors

Create free account to unlock more features

Experiences

Create free account to unlock more features

Education

Create free account to unlock more features

Matthew Lorig

University of Washington

Professor

You can click a keyword to filter the displayed items

finance financial economics mathematical finance empirical finance applied mathematics asset pricing economics financial mathematics international finance option pricing volatility modeling social sciences social science research quantitative analysis (finance) implied volatilities local-stochastic volatility applied probability probability theory applied economics mathematical optimization theoretical economics derivative pricing mathematical economics density expansions levy-type processes implied sharpe ratio economic research portfolio optimization estimation theory multiscale analysis computational finance levy process real estate finance buying behaviors household finance bond markets analytical expansions optimal liquidation stochastic price impact multiscale diffusions leveraged etf etf dynamics small-time asymptotics heat kernel expansion implied vol lsv models characteristic functions financial modeling finance research econophysics investment management implied volatility

Notable Scholarly Works

Notable Federal Grants

Collaborators

Explicit Caplet Implied Volatilities for Quadratic Term-Structure Models. International Journal of Financial Engineering (2023)

Matthew LorigNatchanon Suaysom

financial economicsmathematical financevolatility modelingfinancefinancial engineeringinternational financequadratic term-structure modelsasset pricing

Optimal Times to Buy and Sell a Home. International Journal of Theoretical and Applied Finance (2023)

MATTHEW LORIGNATCHANON SUAYSOM

buying behaviorsreal estate financemathematical financemarket designreal estateeconomicshousingfinancehousehold financeapplied mathematicsinternational financeoptimal timestheoretical economics

Short Communication: A Primer on Perpetuals. SIAM Journal on Financial Mathematics (2023)

Guillermo AngerisTarun ChitraAlex EvansMatthew Lorig

short communicationmathematical financefinancial mathematicsfinance

A Primer on Perpetuals. SSRN Electronic Journal (2022)

Guillermo AngerisTarun ChitraAlex EvansMatthew Lorig

sociologyeconomicssocial sciencessocial science researchnetwork science

Options on Bonds: Implied Volatilities From Affine Short-Rate Dynamics. Annals of Finance (2022)

Matthew LorigNatchanon Suaysom

financial economicsfinanceempirical financeimplied volatilitiesaffine short-rate dynamicsoption pricingasset pricing

Bond Indifference Prices. Quantitative Finance (2021)

Matthew LorigBin Zou

financial economicsmathematical financebond indifference pricesbond marketsfinanceasset pricing

Optimal Bookmaking. European Journal of Operational Research (2021)

Matthew LorigZhou ZhouBin Zou

managementoptimal bookmakingeconomicsapplied mathematicsoperations research

Pricing Variance Swaps on Time-Changed Markov Processes. SIAM Journal on Financial Mathematics (2021)

Peter CarrRoger LeeMatthew Lorig

financial economicstime-changed markov processesfinancial mathematicsmathematical financefinanceempirical financeasset pricing

Robust Replication of Volatility and Hybrid Derivatives on Jump Diffusions. Mathematical Finance (2021)

Peter CarrRoger LeeMatthew Lorig

jump diffusionsmathematical financehybrid derivativesfinanceempirical financerobust replication

Semi-Robust Replication of Barrier-Style Claims on Price and Volatility. Applied Mathematical Finance (2021)

Peter CarrRoger LeeMatthew Lorig

valuationfinancial economicsmathematical financesemi-robust replicationfinanceempirical financeapplied mathematicsbarrier-style claimsasset pricing

1
2
3
4
5
10 / page

Matthew Lorig

Professor

University of Washington

Affiliations

College of Arts & Sciences

Department of Applied Mathematics

Matthew Lorig is currently serving as a College Of Arts & Sciences Professor at University of Washington.

Honors

Create free account to unlock more features

Experiences

Create free account to unlock more features

Education

Create free account to unlock more features

Matthew Lorig

University of Washington

Professor

You can click a keyword to filter the displayed items

Notable Scholarly Works

Notable Federal Grants

Collaborators

Explicit Caplet Implied Volatilities for Quadratic Term-Structure Models. International Journal of Financial Engineering (2023)

Matthew LorigNatchanon Suaysom

financial economicsmathematical financevolatility modelingfinancefinancial engineeringinternational financequadratic term-structure modelsasset pricing

Optimal Times to Buy and Sell a Home. International Journal of Theoretical and Applied Finance (2023)

MATTHEW LORIGNATCHANON SUAYSOM

buying behaviorsreal estate financemathematical financemarket designreal estateeconomicshousingfinancehousehold financeapplied mathematicsinternational financeoptimal timestheoretical economics

Short Communication: A Primer on Perpetuals. SIAM Journal on Financial Mathematics (2023)

Guillermo AngerisTarun ChitraAlex EvansMatthew Lorig

short communicationmathematical financefinancial mathematicsfinance

A Primer on Perpetuals. SSRN Electronic Journal (2022)

Guillermo AngerisTarun ChitraAlex EvansMatthew Lorig

sociologyeconomicssocial sciencessocial science researchnetwork science

Options on Bonds: Implied Volatilities From Affine Short-Rate Dynamics. Annals of Finance (2022)

Matthew LorigNatchanon Suaysom

financial economicsfinanceempirical financeimplied volatilitiesaffine short-rate dynamicsoption pricingasset pricing

Bond Indifference Prices. Quantitative Finance (2021)

Matthew LorigBin Zou

financial economicsmathematical financebond indifference pricesbond marketsfinanceasset pricing

Optimal Bookmaking. European Journal of Operational Research (2021)

Matthew LorigZhou ZhouBin Zou

managementoptimal bookmakingeconomicsapplied mathematicsoperations research

Pricing Variance Swaps on Time-Changed Markov Processes. SIAM Journal on Financial Mathematics (2021)

Peter CarrRoger LeeMatthew Lorig

financial economicstime-changed markov processesfinancial mathematicsmathematical financefinanceempirical financeasset pricing

Robust Replication of Volatility and Hybrid Derivatives on Jump Diffusions. Mathematical Finance (2021)

Peter CarrRoger LeeMatthew Lorig

jump diffusionsmathematical financehybrid derivativesfinanceempirical financerobust replication

Semi-Robust Replication of Barrier-Style Claims on Price and Volatility. Applied Mathematical Finance (2021)

Peter CarrRoger LeeMatthew Lorig

valuationfinancial economicsmathematical financesemi-robust replicationfinanceempirical financeapplied mathematicsbarrier-style claimsasset pricing

1
2
3
4
5
10 / page

Similar Faculty Members

Tim Leung

Institution

University of Washington

finance

financial mathematics

Andrew Papanicolaou

Institution

North Carolina State University

machine learning methods

applied artificial intelligence

Maxim Bichuch

Institution

University at Buffalo

finance

financial mathematics

Eric Zivot

Institution

University of Washington

finance

financial time series analysis

Christopher Lamoureux

Institution

University of Arizona

financial stability

international financial market

Martin Larsson

Institution

Carnegie Mellon University

stochastic process

international financial market

Ionut Florescu

Institution

Stevens Institute of Technology

finance

financial mathematics

Michael Ludkovski

Institution

University of California, Santa Barbara

Stathis Tompaidis

Institution

University of Texas at Austin

asset allocation

capital market

Svetlana Boyarchenko

Institution

University of Texas at Austin

economics

option pricing

Similar Faculty Members

Tim Leung

Institution

University of Washington

finance

financial mathematics

Andrew Papanicolaou

Institution

North Carolina State University

machine learning methods

applied artificial intelligence

Maxim Bichuch

Institution

University at Buffalo

finance

financial mathematics

Eric Zivot

Institution

University of Washington

finance

financial time series analysis

Christopher Lamoureux

Institution

University of Arizona

financial stability

international financial market

Martin Larsson

Institution

Carnegie Mellon University

stochastic process

international financial market

Ionut Florescu

Institution

Stevens Institute of Technology

finance

financial mathematics

Michael Ludkovski

Institution

University of California, Santa Barbara

Stathis Tompaidis

Institution

University of Texas at Austin

asset allocation

capital market

Svetlana Boyarchenko

Institution

University of Texas at Austin

economics

option pricing