The following pages link to Matthew Lorig (Q309156):
Displaying 31 items.
- Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration (Q309158) (← links)
- Pricing approximations and error estimates for local Lévy-type models with default (Q2006127) (← links)
- Optimal bookmaking (Q2239899) (← links)
- A family of density expansions for Lévy-type processes (Q2258531) (← links)
- Options on bonds: implied volatilities from affine short-rate dynamics (Q2672920) (← links)
- Variance swaps on defaultable assets and market implied time-changes (Q2813077) (← links)
- The smile of certain Lévy-type models (Q2873150) (← links)
- Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion (Q2962132) (← links)
- A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model (Q2996524) (← links)
- Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio (Q3188150) (← links)
- TIME-CHANGED FAST MEAN-REVERTING STOCHASTIC VOLATILITY MODELS (Q3225033) (← links)
- From characteristic functions to implied volatility expansions (Q3450511) (← links)
- Optimal static quadratic hedging (Q4554507) (← links)
- Asymptotics for $$d$$ -Dimensional Lévy-Type Processes (Q4560337) (← links)
- OPTIMAL LIQUIDATION UNDER STOCHASTIC PRICE IMPACT (Q4631694) (← links)
- INDIFFERENCE PRICES AND IMPLIED VOLATILITIES (Q4635045) (← links)
- Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility (Q4635252) (← links)
- Multiscale exponential Lévy-type models (Q4682996) (← links)
- Optimal Trading with Differing Trade Signals (Q4994352) (← links)
- Bond indifference prices (Q5014252) (← links)
- The implied Sharpe ratio (Q5139210) (← links)
- Analytical Expansions for Parabolic Equations (Q5264986) (← links)
- EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS (Q5283408) (← links)
- LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS (Q5371136) (← links)
- A Mathematical Analysis of Technical Analysis (Q5378529) (← links)
- On Carr and Lee’s Correlation Immunization Strategy (Q5382633) (← links)
- Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models (Q5388679) (← links)
- The exact smile of certain local volatility models (Q5397427) (← links)
- PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH (Q5416705) (← links)
- Short Communication: A Primer on Perpetuals (Q6159073) (← links)
- Optimal times to buy and sell a home (Q6492033) (← links)
