48 citations · 88 across the 27 of their papers we have counts for
20 papers · 1 filter
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…
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…
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…
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…
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…
Optimal Static Quadratic Hedging
Tim Leung, Matthew Lorig
We propose a flexible framework for hedging a contingent claim by holding static positions in vanilla European calls, puts, bonds, and forwards. A model-free expression is derived…
Indifference prices and implied volatilities
Matthew Lorig
We consider a general local-stochastic volatility model and an investor with exponential utility. For a European-style contingent claim, whose payoff may depend on either a traded…