( en | de | ru )

 

Disambiguation of "Lorig, Matthew"

Author of the publication

copydeleteadd this publication to your clipboard
Analytical Expansions for Parabolic Equations.

, , and . SIAM J. Appl. Math., 75 (2): 468-491 (2015)

Please choose a person to relate this publication to

To differ between persons with the same name, the academic degree and the title of an important publication will be displayed. You can also use the button next to the name to display some publications already assigned to the person.

Wolfgang Lorig

Werner Lorig

Matthew Mellon

Matthew David

Matthew Grum

 

Other publications of authors with the same name

Variance Swaps on Defaultable Assets and Market Implied Time-Changes., , and . SIAM J. Financial Math., 7 (1): 273-307 (2016)Analytical Expansions for Parabolic Equations., , and . SIAM J. Appl. Math., 75 (2): 468-491 (2015)Pricing approximations and error estimates for local Lévy-type models with default., , and . Comput. Math. Appl., 69 (10): 1189-1219 (2015)Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion., , , and . SIAM J. Financial Math., 8 (1): 82-113 (2017)Short Communication: A Primer on Perpetuals., , , and . SIAM J. Financial Math., 14 (1): 17- (March 2023)Pricing Variance Swaps on Time-Changed Markov Processes., , and . SIAM J. Financial Math., 12 (2): 672-689 (2021)Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility., , and . SIAM J. Financial Math., 9 (1): 347-380 (2018)The Smile of Certain Lévy-Type Models., and . SIAM J. Financial Math., 4 (1): 804-830 (2013)Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration., , and . Finance and Stochastics, 20 (3): 543-588 (2016)Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio., and . SIAM J. Financial Math., 7 (1): 418-447 (2016)