48 citations · 88 across the 27 of their papers we have counts for
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q-fin.MF2024
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…
econ.GN2024
Rooftop and Community Solar Adoption with Income Heterogeneity
Swapnil Rayal, Apurva Jain, Matthew Lorig
Each household in a population characterized by income heterogeneity faces random demand for electricity and decides if and when it should adopt a solar product, rooftop solar or c…
q-fin.MF2024
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…