48 citations · 88 across the 27 of their papers we have counts for
6 papers · 1 filter
Small-time asymptotics for a general local-stochastic volatility model with a jump-to-default: curvature and the heat kernel expansion
John Armstrong, Martin Forde, Matthew Lorig +1
We compute a sharp small-time estimate for implied volatility under a general uncorrelated local-stochastic volatility model. For this we use the Bellaiche \cite{Bel81} heat kernel…
Variance Swaps on Defaultable Assets and Market Implied Time-Changes
Matthew Lorig, Oriol Lozano Carbasse, Rafael Mendoza-Arriaga
We compute the value of a variance swap when the underlying is modeled as a Markov process time changed by a Lévy subordinator. In this framework, the underlying may exhibit jumps…
Exponential Lévy-type models with stochastic volatility and stochastic jump-intensity
Matthew Lorig, Oriol Lozano-Carbassé
We consider the problem of valuing a European option written on an asset whose dynamics are described by an exponential Lévy-type model. In our framework, both the volatility and j…
Time-Changed Fast Mean-Reverting Stochastic Volatility Models
Matthew Lorig
We introduce a class of randomly time-changed fast mean-reverting stochastic volatility models and, using spectral theory and singular perturbation techniques, we derive an approxi…
A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model
Jean-Pierre Fouque, Matthew Lorig
We propose a multi-scale stochastic volatility model in which a fast mean-reverting factor of volatility is built on top of the Heston stochastic volatility model. A singular pertu…
Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models
Jean-Pierre Fouque, Sebastian Jaimungal, Matthew Lorig
Using spectral decomposition techniques and singular perturbation theory, we develop a systematic method to approximate the prices of a variety of options in a fast mean-reverting…