Publications

Preprints

1. Explicit Caplet Implied Volatilities for Quadratic Term-Structure Models.s.  M. Lorig and N. Suaysom.   [arXiv]

2. Optimal Times to Buy and Sell a home.  M. Lorig and N. Suaysom.   [arXiv]

Articles accepted for publications in refereed journals

1. Short Communication: a Primer on Perpetuals.  G. Angeris, T. Chitra, A. Evans and M. Lorig.  SIAM Journal on Financial Mathematics.  2023, Vol. 14, No. 1, pp. SC17-SC30.  [arXiv] [Journal]

2. Robust replication of barrier-style claims on price and volatility.  P. Carr, R. Lee and M. Lorig.  Applied Mathematical Finance.  2021, Vol. 28, No. 6, pp. 534-559.  [arXiv] [Journal]

3. Options on Bonds: Implied Volatilities from Affine Short-Rate Dynamics.  M. Lorig and N. Suaysom.  Annals of Finance. 2022, Vol. 18, No. 2, pp. 183-216. [arXiv] [Journal]

4. Robust Replication of Volatility and Hybrid Derivatives on Jump Diffusions.  P. Carr, R. Lee and M. Lorig.  Mathematical Finance. 2021, Vol. 31, No. 4, pp. 1394-1422. [arXiv] [Journal]

5. Pricing Variance Swaps on Time-Changed Markov Processes.  P. Carr, R. Lee and M. Lorig.   SIAM Journal on Financial Mathematics.   2021, Vol. 12, No. 2, pp. 672–689.  [arXiv] [Journal]

6. Optimal Bookmaking.  M. Lorig, Z. Zhou and B. Zou.  European Journal on Operational Research. 2021, Vol. 295, No. 7, pp.  560–574.  [arXiv] [Journal]

7. Bond Indifference Prices and Indifference Yield Curves.  M. Lorig and B. Zou.  Quantitative Finance.  2021, Vol. 21, No. 7, pp. 1223–1233. [arXiv] [Journal]

8. Optimal Trading with Differing Trade Signals.  R. Donnelly and M. Lorig.  Applied Mathematical Finance.  2020, Vol. 27, No. 4, pp. 317 - 344. [arXiv] [Journal]

9. The Implied Sharpe Ratio.  A. Agarwal and M. Lorig.  Quantitative Finance.  2020, Vol. 20, No. 6, pp. 1009 - 1026.  [arXiv] [Journal]

10. On Carr and Lee’s Correlation Immunization Strategy. J. Lin and M. Lorig. Applied Mathematical Finance.  2019, Vol. 26, No. 2, pp. 131 – 152.  [arXiv] [Journal] 

11. A Mathematical Analysis of Technical Analysis.  M. Lorig, Z. Zhou and B. Zou.  Applied Mathematical Finance.  2019, Vol. 26, No 1, pp. 38 - 69. [arXiv] [Journal] 

12. Optimal Liquidation under Stochastic Price Impact.  W. Barger and M. Lorig.  International Journal of Theoretical and Applied Finance. 2019, Vol. 22, No. 2., pp. 1850059-1 – 1850059-28.  [arXiv] [Journal] 

13. Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Levy models With Local Volatility.  J. Figueroa-Lopez, R. Gong and M. Lorig. SIAM Journal on Financial Mathematics.  2018, Vol. 9, No. 1, pp. 347–380.  [arXiv] [Journal] 

14. Approximate pricing of European and barrier claims in a local-stochastic volatility setting. W. Barger and M. Lorig. International Journal of Financial Engineering. 2017, Vol. 4, No. 2&3, pp. 1750018-1 – 1750018-31. [arXiv] [Journal] 

15. 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.  SIAM Journal on Financial Mathematics. 2017, Vol. 8, No. 1, pp. 82-113. [arXiv] [Journal] 

16. Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations & Implied Sharpe Ratio.  M. Lorig and R. Sircar.  SIAM Journal on Financial Mathematics. 2016, Vol. 7, No. 1, pp. 418-447. [arXiv] [Journal] 

17. Optimal Static Quadratic Hedging.  T. Leung and M. Lorig.  Quantitative Finance.   2016, Vol. 16, No. 9, pp. 1341-1355. [arXiv] [Journal] 

18. Indifference Prices and Implied Volatilities.  M. Lorig.  Mathematical Finance.  2018, Vol. 28, No. 1, pp. 372–408. [arXiv] [Journal] 

19. Leveraged ETF Implied Volatilities from ETF Dynamics.  T. Leung, M. Lorig and A. Pascucci.  Mathematical Finance.   2017, Vol. 27, No. 4, pp. 1035–1068.  [arXiv] [Journal] 

20. Pricing Approximations and Error Estimates for Local Levy-type Models with Default.  M. Lorig, S. Pagliarani and A. Pascucci.  Computers and Mathematics with Applications.  2015, Vol. 69, No 10, pp. 1189–1219. [arXiv] [Journal] 

21. Analytical Expansions for Parabolic Equations.  M. Lorig, S. Pagliarani and A. Pascucci.  SIAM Journal on Applied Mathematics.  2014, Vol 75, No 2, pp. 468--491. [arXiv] [Journal] 

22. A Taylor Series Approach to Pricing and Implied Volatility for LSV Models.  M. Lorig, S. Pagliarani and A. Pascucci.  Risk. 2014, Vol. 17, No. 2, pp. 1--17. [arXiv] [Journal] 

23. Explicit implied volatilities for multifactor local-stochastic volatility models.  M. Lorig, S. Pagliarani and A. Pascucci.  Mathematical Finance.  2017, Vol. 27, No. 3, pp. 926–960. [arXiv] [Journal] 

24. From characteristic functions to implied volatility expansions.  A. Jacquier and M. Lorig.  Advances in Applied Probability.  2015, Vol. 47, No. 3, pp. 837--857.  [arXiv] [Journal] 

25. Multiscale exponential Levy-type Models.  M. Lorig and Oriol Lozano-Carbasse.  Quantitative Finance. 2015, Vol 15, No. 1, pp. 91--100.  [arXiv] [Journal] 

26. Variance Swaps on Defaultable Assets and Market Implied Time-Changes.  M. Lorig, Oriol Lozano-Carbasse and R. Mendoza-Arriaga.  SIAM Journal on Financial Mathematics.  2016, Vol. 7, No. 1, pp. 273--307. [arXiv] [Journal] 

27. A family of density expansions for Levy-type processes.  M. Lorig, S. Pagliarani and A. Pascucci.  Annals of Applied Probability. 2015, Vol. 25, No. 1, pp. 235--367.  [arXiv] [Journal] 

28. 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] [Journal] 

29. Second Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis & Calibration.  J.-P. Fouque, M. Lorig and R. Sircar.  Finance and Stochastics.  2016, Vol. 20, No. 3, pp. 543--588. [arXiv] [Journal] 

30. The Exact Smile of some Local Volatility Models.  M. Lorig.  Quantitative Finance.  2013, Vol. 13, No. 6, pages 897--905.  [arXiv] [Journal] 

31. Pricing Derivatives on Multiscale Diffusions: an Eigenfunction Expansion Approach.  M. Lorig.  Mathematical Finance.  2014, Vol. 24, No. 2, pp 331--363.  [arXiv] [Journal] 

32. Time-Changed Fast Mean-Reverting Stochastic Volatility Models.  M. Lorig.  International Journal of Theoretical and Applied Finance.  2011, Vol. 14, No. 8, pp. 1355--1383.  [arXiv] [Journal] 

33. 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] [Journal] 

34. 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] [Journal] 

35. Elastic Solutions for Eccentrically Loaded, Slender, Rectangular Spandrel Beams.  B. Mercon, A. Schultz, H. Stolarski, R. Magana and M. Lorig. Journal of Structural Engineering. 2012, Vol. 138, No. 7, pp. 911--921. [Journal] 

Articles published in books or refereed proceedings

1. Asymptotics for d-dimensional Levy-type processes.  M. Lorig, S. Pagliarani and A. Pascucci.  Springer Proceedings on Large Deviations and Asymptotic Methods in Finance (eds. P.K. Friz, J. Gatheral, A. Gulisashvili, A. Jacquier, J. Teichmann), Springer Proceedings in Mathematics & Statistics (2015), pp. 321–343.  [arXiv] [Journal] 

2. Stochastic Volatility: Modeling and Asymptotic Approaches to Option Pricing & Portfolio Selection.  M. Lorig and R. Sircar. Financial Signal Processing and Machine Learning (eds. A. Akansu, S. Kulkarni, D. Malioutov, I. Pollak), Wiley (2015), pp. 135–161.  [Link] 

3. Biomechanical Analysis of the Deadlift.  M. Lorig.  Starting Strength, 3rd Edition (Mark Rippetoe) The Aasgaard Company (2011), pp. 122.  [Link] 

Interviews

1. Interviews with Researchers Who Started Their Career in Physics but Moved to Finance.  A. Antonov, A. Bueno Guerrero, E. Derman, D. Gershon, A. Lipton, M. Lorig and P. Tankov,  Journal of Derivatives (eds. A. Bogdanov, A. Itkin, A. Lipton). 2020, Vol. 28, No. 1, pp. 143–159. [Journal]