2 citations · 2 across the 5 of their papers we have counts for
12 papers
Optimal times to buy and sell a home
Matthew Lorig, Natchanon Suaysom
We consider a financial market in which the risk-free rate of interest is modeled as a Markov diffusion. We suppose that home prices are set by a representative home-buyer, who can…
Robust Replication of Volatility and Hybrid Derivatives on Jump Diffusions
Peter Carr, Roger Lee, Matthew Lorig
We price and replicate a variety of claims written on the log price and quadratic variation of a risky asset, modeled as a positive semimartingale, subject to stochastic…
Options on Bonds: Implied Volatilities from Affine Short-Rate Dynamics
Matthew Lorig, Natchanon Suaysom
We derive an explicit asymptotic approximation for the implied volatilities of Call options written on bonds assuming the short-rate is described by an affine short-rate model. For…
Bond indifference prices and indifference yield curves
Matthew Lorig
In a market with stochastic interest rates, we consider an investor who can either (i) invest all if his money in a savings account or (ii) purchase zero-coupon bonds and invest th…
Optimal Trading with Differing Trade Signals
Ryan Donnelly, Matthew Lorig
We consider the problem of maximizing portfolio value when an agent has a subjective view on asset value which differs from the traded market price. The agent's trades will have a…
The implied Sharpe ratio
Ankush Agarwal, Matthew Lorig
In an incomplete market, including liquidly-traded European options in an investment portfolio could potentially improve the expected terminal utility for a risk-averse investor. H…