Concepedia

Matthew Lorig

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Statistics

Publications

15

Citations

383

H-Index

11

Active since

2010

Affiliations

University of Washington Applied Physics Laboratory(Current)

University of Bologna

Princeton University

Applied Mathematics (United States)

École Polytechnique

Matthew Lorig is an author at University of Washington Applied Physics Laboratory specializing in volatility modeling, multivariate stochastic volatility, and engineering.

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Publications per year

2010–2017

15

Publications

15

Explicit implied volatilities for multifactor local-stochastic volatility models

Matthew Lorig, Stefano Pagliarani, Andrea Pascucci · Institutional Research Information System (University of Udine) · 2017 · 76 citations

Analytical expansions for parabolic equations

Matthew Lorig, Stefano Pagliarani, Andrea Pascucci · Institutional Research Information System (University of Udine) · 2015 · 48 citations

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A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model

Jean‐Pierre Fouque, Matthew Lorig · SIAM Journal on Financial Mathematics · 2011 · 47 citations · Full text

Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration

Jean‐Pierre Fouque, Matthew Lorig, Ronnie Sircar · Finance and Stochastics · 2016 · 36 citations

, , +9

A family of density expansions for Levy-type processes with default

Matthew Lorig, Stefano Pagliarani, Andrea Pascucci · Archivio istituzionale della ricerca (Alma Mater Studiorum Università di Bologna) · 2015 · 32 citations · Full text

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