Submitted Papers

Pricing of Variance Swaps under a Credit-Equity Modeling Framework.  M.  Lorig and R. Mendoza-Arriaga
VS-LSD-v8.14.pdf VS-LSD-v8.14.pdf
Size : 390.999 Kb
Type : pdf

Local Levy Models and their Volatility Smile.  M. Lorig

LocalLevy1.11.pdf LocalLevy1.11.pdf
Size : 248.593 Kb
Type : pdf

The Exact Smile of some Local Stochastic Volatility Models.  M. Lorig

Local-ImpVol1.10.pdf Local-ImpVol1.10.pdf
Size : 191.573 Kb
Type : pdf

The Exact Implied Volatility Smile for Exponential
Lévy Models.  M. Lorig

LevyImpVol-1.00.pdf LevyImpVol-1.00.pdf
Size : 146.558 Kb
Type : pdf

Exponential Lévy models with stochastic volatility and stochastic
jump-intensity.  M. Lorig

FMR-Levy2.1.pdf FMR-Levy2.1.pdf
Size : 225.078 Kb
Type : pdf

Second Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis and Calibration.  J.-P. Fouque, M. Lorig, and R. Sircar.

2ndCorrection-4.00.pdf 2ndCorrection-4.00.pdf
Size : 299.468 Kb
Type : pdf

Accepted for Publication

Pricing Derivatives on Multiscale Diffusions: an Eigenfunction Expansion Approach.  M. Lorig

Spectral-Multiscale.pdf Spectral-Multiscale.pdf
Size : 365.343 Kb
Type : pdf

Time-Changed Fast Mean-Reverting Stochastic Volatility Models.  M. Lorig

Time-Change.pdf Time-Change.pdf
Size : 415.761 Kb
Type : pdf

Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models.  J.-P. Fouque, S. Jaimungal and M. Lorig

Spectral-FMR.pdf Spectral-FMR.pdf
Size : 638.209 Kb
Type : pdf

A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model.  J.-P. Fouque and M. Lorig 

Heston-FMR.pdf Heston-FMR.pdf
Size : 412.643 Kb
Type : pdf

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