48 citations · 88 across the 27 of their papers we have counts for
6 papers · 1 filter
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…
Second Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis & Calibration
Jean-Pierre Fouque, Matthew Lorig, Ronnie Sircar
Multiscale stochastic volatility models have been developed as an efficient way to capture the principle effects on derivative pricing and portfolio optimization of randomly varyin…
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…
From characteristic functions to implied volatility expansions
Antoine Jacquier, Matthew Lorig
For any strictly positive martingale for which has a characteristic function, we provide an expansion for the implied volatility. This expansion is explicit in th…
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…