48 citations · 88 across the 27 of their papers we have counts for
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q-fin.MF2018
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…
q-fin.TR2018
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…