48 citations · 88 across the 27 of their papers we have counts for
44 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…
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 rate…
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…
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…
Interest rate derivatives in a CTMC setting: pricing, replication and Ross recovery
Tim Leung, Matthew Lorig
We consider a financial market in which the short rate is modeled by a continuous time Markov chain (CTMC) with a finite state space. In this setting, we show how to price any fina…
Rooftop and Community Solar Adoption with Income Heterogeneity
Swapnil Rayal, Apurva Jain, Matthew Lorig
Each household in a population characterized by income heterogeneity faces random demand for electricity and decides if and when it should adopt a solar product, rooftop solar or c…
Optimal positioning in derivative securities in incomplete markets
Tim Leung, Matthew Lorig, Yoshihiro Shirai
This paper analyzes a problem of optimal static hedging using derivatives in incomplete markets. The investor is assumed to have a risk exposure to two underlying assets. The hedgi…
Explicit Caplet Implied Volatilities for Quadratic Term-Structure Models
Matthew Lorig, Natchanon Suaysom
We derive an explicit asymptotic approximation for implied volatilities of caplets under the assumption that the short-rate is described by a generic quadratic term-structure model…
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…
Optimal Bookmaking
Matthew Lorig, Zhou Zhou, Bin Zou
We introduce a general framework for continuous-time betting markets, in which a bookmaker can dynamically control the prices of bets on outcomes of random events. In turn, the pri…
On Carr and Lee's correlation immunization strategy
Jimin Lin, Matthew Lorig
In their seminal work Carr and Lee (2008) show how to robustly price and replicate a variety of claims written on the quadratic variation of a risky asset under the assumption that…
Optimal liquidation under stochastic price impact
Weston Barger, Matthew Lorig
We assume a continuous-time price impact model similar to Almgren-Chriss but with the added assumption that the price impact parameters are stochastic processes modeled as correlat…
A Mathematical Analysis of Technical Analysis
Matthew Lorig, Zhou Zhou, Bin Zou
In this paper, we investigate trading strategies based on exponential moving averages (ExpMAs) of an underlying risky asset. We study both logarithmic utility maximization and long…
Pricing Variance Swaps on Time-Changed Markov Processes
Peter Carr, Roger Lee, Matthew Lorig
We prove that the variance swap rate (fair strike) equals the price of a co-terminal European-style contract when the underlying is an exponential Markov process, time-changed by a…
Approximate pricing of European and Barrier claims in a local-stochastic volatility setting
Weston Barger, Matthew Lorig
We derive asymptotic expansions for the prices of a variety of European and barrier-style claims in a general local-stochastic volatility setting. Our method combines Taylor series…
Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy models With Local Volatility
José E. Figueroa-López, Ruoting Gong, Matthew Lorig
In this article, we consider the small-time asymptotics of options on a \emph{Leveraged Exchange-Traded Fund} (LETF) when the underlying Exchange Traded Fund (ETF) exhibits both lo…
Robust replication of barrier-style claims on price and volatility
Peter Carr, Roger Lee, Matthew Lorig
We show how to price and replicate a variety of barrier-style claims written on the price and quadratic variation of a risky asset. Our framework ass…
Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations & Implied Sharpe Ratio
Matthew Lorig, Ronnie Sircar
We study the finite horizon Merton portfolio optimization problem in a general local-stochastic volatility setting. Using model coefficient expansion techniques, we derive approxim…