1. Pricing Variance Swaps on Time-Changed Markov Processes.  P. Carr, R. Lee and M. Lorig.
    Working paper.
  2. Small-time asymptotics for a general local-stochastic volatility model with a jump-to-default: curvature and the heat kernel expansion.  J. Armstrong, M. Forde, M. Lorig and H. Zhang.  Submitted 2014. [arXiv]
  3. Leveraged ETF Implied Volatilities from ETF Dynamics.  T. Leung, M. Lorig and A. Pascucci.
    Submitted 2014. [arXiv]
  4. Asymptotics for d-dimensional Levy-type processes.  M. Lorig, S. Pagliarani and A. Pascucci.
    To appear Springer Proceedings on Asymptotic Methods in Finance. [arXiv]
  5. Pricing approximations and error estimates for local Levy-type models with default.  M. Lorig, S. Pagliarani and A. Pascucci.
    Submitted 2013. [arXiv]
  6. Analytic Expansions for Parabolic Equations.  M. Lorig, S. Pagliarani and A. Pascucci.
    Submitted 2013. [arXiv]
  7. A Taylor Series Approach to Pricing and Implied Volatility for LSV Models.  M. Lorig, S. Pagliarani and A. Pascucci.
    To Appear in Risk. [arXiv]
  8. Explicit implied vols for multifactor local-stochastic vol models.  M. Lorig, S. Pagliarani and A. Pascucci.
    Under Revision at Mathematical Finance.  [arXiv]   [Mathematica Code]
  9. From characteristic functions to implied volatility expansions.  A. Jacquier and M. Lorig.
    To appear in Advances in Applied Probability.  [arXiv]
  10. Exponential Levy-type Models with Stochastic Volatility and Stochastic Jump Intensity.  M. Lorig and Oriol Lozano-Carbasse
    To Appear in Quantitative Finance.  [arXiv]
  11. Variance Swaps on Defaultable Assets and Market Implied Time-Changes.  M. Lorig, Oriol Lozano-Carbasse and R. Mendoza-Arriaga.
    Submitted 2013.  [arXiv]
  12. A family of density expansions for Levy-type processes with default.  M. Lorig, S. Pagliarani and A. Pascucci.
    To appear in Annals of Applied Probability.  [arXiv]
  13. The smile of certain Levy-type models.  A. Jacquier and M. Lorig
    SIAM Journal on Financial Mathematics.  2013, Vol. 4, No.1, pp. 804–830.  [arXiv]
  14. Second Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis & Calibration.  J.-P. Fouque, M. Lorig and R. Sircar.
    Under Revision at Finance and Stochastics.  [arXiv]
  15. The Exact Smile of some Local Volatility Models.  M. Lorig. 
    Quantitative Finance
    Volume 13, Issue 6, June 2013, pages 897-905.  [arXiv]
  16. Pricing Derivatives on Multiscale Diffusions: an Eigenfunction Expansion Approach.  M. Lorig. 
    Mathematical Finance.  Published online: 2 NOV 2012.  [arXiv]
  17. Time-Changed Fast Mean-Reverting Stochastic Volatility Models.  M. Lorig. 
    International Journal of Theoretical and Applied Finance.  2011, Vol. 14, No. 08, pp. 1355-1383.  [arXiv]
  18. Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models.  J.-P. Fouque, S. Jaimungal and M. Lorig. 
    SIAM Journal on Financial Mathematics.  2011, Vol. 2, No. 1, pp. 665-691.  [arXiv]
  19. A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model.  J.-P. Fouque and M. Lorig.
    SIAM Journal on Financial Mathematics.  2011, Vol. 2, No. 1, pp. 221-254.  [arXiv]
Make a Free Website with Yola.