no code implementations • 29 Feb 2024 • Tim Leung, Matthew Lorig, Yoshihiro Shirai
When vanilla options are available for each underlying asset, the optimal solution is related to the fixed points of a Lipschitz map.
no code implementations • 8 Dec 2022 • 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.
no code implementations • 7 Sep 2022 • Guillermo Angeris, Tarun Chitra, Alex Evans, Matthew Lorig
When asset prices can jump and the volatility process is independent of the underlying risky assets, we derive an explicit replication strategy for the short side of a perpetual contract.
no code implementations • 10 Mar 2022 • Matthew Lorig, Natchanon Suaysom
We also examine, in the case of CIR interest rates, the expected time that the investor waits before buying and then selling a home when following the optimal strategies.
no code implementations • 1 Jul 2021 • Peter Carr, Roger Lee, Matthew Lorig
We price and replicate a variety of claims written on the log price $X$ and quadratic variation $[X]$ of a risky asset, modeled as a positive semimartingale, subject to stochastic volatility and jumps.
no code implementations • 8 Jun 2021 • 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.
no code implementations • 17 Jul 2020 • Matthew Lorig
The indifference price of the bond is the price for which the investor could achieve the same expected utility under both scenarios.
no code implementations • 24 Jun 2020 • 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.
no code implementations • 1 Jul 2019 • 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.
no code implementations • 4 Aug 2015 • Peter Carr, Roger Lee, Matthew Lorig
We show how to price and replicate a variety of barrier-style claims written on the $\log$ price $X$ and quadratic variation $\langle X \rangle$ of a risky asset.
