2 citations · 2 across the 14 of their papers we have counts for
4 papers · 1 filter
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…
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…
The Smile of certain Lévy-type Models
Antoine Jacquier, Matthew Lorig
We consider a class of assets whose risk-neutral pricing dynamics are described by an exponential Lévy-type process subject to default. The class of processes we consider features…
The Exact Smile of some Local Volatility Models
Matthew Lorig
We introduce a new class of local volatility models. Within this framework, we obtain expressions for both (i) the price of any European option and (ii) the induced implied volatil…