5 papers
How to Cook a Soft-Boiled Egg Optimally: A Laplace-Transform Solution of a Two-Domain Heat Equation
Matthew Lorig
We study the problem of cooking the yolk and albumen of a hen's egg to their respective optimal temperatures of C and C, subject to the requirem…
A Calculus of Variations Approach to Stochastic Control
Matthew Lorig
We use classical tools from calculus of variations to formally derive necessary conditions for a Markov control to be optimal in a standard finite time horizon stochastic control p…
Optimal Control of the Ethena Yield-Bearing Stablecoin
Matthew Lorig
We formulate and solve stochastic control problems that model the core yield-generating strategy of the Ethena protocol, a decentralized finance (DeFi) stablecoin that earns yield…
Optimal Liquidation of Perpetual Contracts
Ryan Donnelly, Junhan Lin, Matthew Lorig
An agent holds a position in a perpetual contract with payoff function and attempts to liquidate the position while managing transaction costs, inventory risk, and funding rat…
Short-Rate Derivatives in a Higher-for-Longer Environment
Aram Karakhanyan, Takis Konstantopoulos, Matthew Lorig +1
We introduce a class of short-rate models that exhibit a ``higher for longer'' phenomenon. Specifically, the short-rate is modeled as a general time-homogeneous one-factor Markov d…