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1

A Mathematical Analysis of Technical Analysis

Lorig, Matthew, Zhou, Zhou, Zou, Bin

Journal:

Applied Mathematical Finance

Year:

2019

Language:

english

File:

PDF, 2.18 MB

english, 2019

2

The exact smile of certain local volatility models

Journal:

Quantitative Finance

Year:

2013

Language:

english

File:

PDF, 315 KB

english, 2013

3

Optimal static quadratic hedging

Leung, Tim, Lorig, Matthew

Journal:

Quantitative Finance

Year:

2016

Language:

english

File:

PDF, 872 KB

english, 2016

4

Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models

Fouque, Jean-Pierre, Jaimungal, Sebastian, Lorig, Matthew J.

Journal:

SIAM Journal on Financial Mathematics

Year:

2011

Language:

english

File:

PDF, 538 KB

english, 2011

5

Elastic Solutions for Eccentrically Loaded, Slender, Rectangular Spandrel Beams

Mercan, Bulent, Schultz, Arturo E., Stolarski, Henryk K., Magaña, Rafael A., Lorig, Matthew J.

Journal:

Journal of Structural Engineering

Year:

2012

Language:

english

File:

PDF, 1.29 MB

english, 2012

6

Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio

Lorig, Matthew, Sircar, Ronnie

Journal:

SIAM Journal on Financial Mathematics

Year:

2016

Language:

english

File:

PDF, 373 KB

english, 2016

7

Biopsychosocial contributions to the management of arthritis disability

Jerry C. Parker, Laurence A. Bradley, Robert M. Devellis, Lynn H. Gerber, Halsted R. Holman, Francis J. Keefe, Toby S. Lawrence, Matthew H. Liang, Kate R. Lorig, Perry M. Nicassio, Tracey A. Revenson,

Journal:

Arthritis & Rheumatism

Year:

1993

Language:

english

File:

PDF, 464 KB

english, 1993

8

Multiscale exponential Lévy-type models

Lorig, Matthew, Lozano-Carbassé, Oriol

Journal:

Quantitative Finance

Year:

2015

Language:

english

File:

PDF, 321 KB

english, 2015

9

PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH

Journal:

Mathematical Finance

Year:

2014

Language:

english

File:

PDF, 658 KB

english, 2014

10

The Smile of Certain Lévy-Type Models

Jacquier, Antoine, Lorig, Matthew

Journal:

SIAM Journal on Financial Mathematics

Year:

2013

Language:

english

File:

PDF, 418 KB

english, 2013

11

A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model

Fouque, Jean-Pierre, Lorig, Matthew J.

Journal:

SIAM Journal on Financial Mathematics

Year:

2011

Language:

english

File:

PDF, 328 KB

english, 2011

12

TIME-CHANGED FAST MEAN-REVERTING STOCHASTIC VOLATILITY MODELS

Journal:

International Journal of Theoretical and Applied Finance

Year:

2011

Language:

english

File:

PDF, 351 KB

english, 2011

13

Variance Swaps on Defaultable Assets and Market Implied Time-Changes

Lorig, Matthew, Lozano-Carbassé, Oriol, Mendoza-Arriaga, Rafael

Journal:

SIAM Journal on Financial Mathematics

Year:

2016

Language:

english

File:

PDF, 559 KB

english, 2016

14

EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL-STOCHASTIC VOLATILITY MODELS

Lorig, Matthew, Pagliarani, Stefano, Pascucci, Andrea

Journal:

Mathematical Finance

Year:

2015

Language:

english

File:

PDF, 597 KB

english, 2015

15

LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS

Leung, Tim, Lorig, Matthew, Pascucci, Andrea

Journal:

Mathematical Finance

Year:

2016

Language:

english

File:

PDF, 576 KB

english, 2016

16

Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion

Armstrong, John, Forde, Martin, Lorig, Matthew, Zhang, Hongzhong

Journal:

SIAM Journal on Financial Mathematics

Year:

2017

Language:

english

File:

PDF, 406 KB

english, 2017

17

Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility

Figueroa-López, José E., Gong, Ruoting, Lorig, Matthew

Journal:

SIAM Journal on Financial Mathematics

Year:

2018

Language:

english

File:

PDF, 588 KB

english, 2018

18

Optimal Static Quadratic Hedging

Leung, Tim, Lorig, Matthew

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 448 KB

english, 2015

19

On Carr and Lee’s Correlation Immunization Strategy

Lin, Jimin, Lorig, Matthew

Journal:

Applied Mathematical Finance

Year:

2019

Language:

english

File:

PDF, 4.00 MB

english, 2019

20

Analytical Expansions for Parabolic Equations

Lorig, Matthew, Pagliarani, Stefano, Pascucci, Andrea

Journal:

SSRN Electronic Journal

Year:

2013

File:

PDF, 307 KB

2013

21

The implied Sharpe ratio

Agarwal, Ankush, Lorig, Matthew

Journal:

Quantitative Finance

Year:

2020

File:

PDF, 1.25 MB

2020

22

Ethnic health disparities in arthritis and musculoskeletal diseases: Report of a scientific conference

Joanne M. Jordan, Reva Lawrence, Raynard Kington, Patricia Fraser, Elizabeth Karlson, Kate Lorig, Matthew H. Liang

Journal:

Arthritis & Rheumatism

Year:

2002

Language:

english

File:

PDF, 57 KB

english, 2002

23

The impact of chronic disease self-management programs: healthcare savings through a community-based intervention

Ahn, SangNam, Basu, Rashmita, Smith, Matthew, Jiang, Luohua, Lorig, Kate, Whitelaw, Nancy, Ory, Marcia G

Journal:

BMC Public Health

Year:

2013

Language:

english

File:

PDF, 158 KB

english, 2013

24

Pricing approximations and error estimates for local Lévy-type models with default

Lorig, Matthew, Pagliarani, Stefano, Pascucci, Andrea

Journal:

Computers & Mathematics with Applications

Year:

2015

Language:

english

File:

PDF, 819 KB

english, 2015

25

Self-Management at the Tipping Point: Reaching 100,000 Americans with Evidence-Based Programs

Ory, Marcia G., Smith, Matthew Lee, Patton, Kristie, Lorig, Kate, Zenker, Wendy, Whitelaw, Nancy

Journal:

Journal of the American Geriatrics Society

Year:

2013

Language:

english

File:

PDF, 49 KB

english, 2013

26

Supplement: A Festschrift in Honor of Halsted R. Holman, MD: Action Research in Health Care || A Festschrift in Honor of Halsted R. Holman, MD: Action Research in Health Care

Matthew H. Liang, Harold I. Goldberg, Stanford Shoor and Kate Lorig

Journal:

Year:

2002

Language:

english

File:

PDF, 410 KB

english, 2002

27

From characteristic functions to implied volatility expansions

Jacquier, Antoine, Lorig, Matthew

Journal:

Advances in Applied Probability

Year:

2015

Language:

english

File:

PDF, 424 KB

english, 2015

28

A Festschrift in Honor of Halsted R. Holman, MD

Liang, Matthew H., Goldberg, Harold I., Shoor, Stanford, Lorig, Kate

Journal:

Year:

2002

File:

PDF, 1.02 MB

2002

29

Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration

Fouque, Jean-Pierre, Lorig, Matthew, Sircar, Ronnie

Journal:

Finance and Stochastics

Year:

2016

Language:

english

File:

PDF, 1.84 MB

english, 2016

30

INDIFFERENCE PRICES AND IMPLIED VOLATILITIES

Journal:

Mathematical Finance

Year:

2016

Language:

english

File:

PDF, 506 KB

english, 2016

31

Successes of a National Study of the Chronic Disease Self-Management Program

Ory, Marcia G., Ahn, SangNam, Jiang, Luohua, Smith, Matthew Lee, Ritter, Philip L., Whitelaw, Nancy, Lorig, Kate

Journal:

Year:

2013

Language:

english

File:

PDF, 202 KB

english, 2013

32

A family of density expansions for Lévy-type processes

Lorig, Matthew, Pagliarani, Stefano, Pascucci, Andrea

Journal:

The Annals of Applied Probability

Year:

2015

Language:

english

File:

PDF, 369 KB

english, 2015

33

From characteristic functions to implied volatility expansions

Jacquier, Antoine, Lorig, Matthew

Journal:

Advances in Applied Probability

Year:

2015

Language:

english

File:

PDF, 332 KB

english, 2015

34

Approximate pricing of European and Barrier claims in a local-stochastic volatility setting

Barger, Weston, Lorig, Matthew

Journal:

International Journal of Financial Engineering

Year:

2017

Language:

english

File:

PDF, 315 KB

english, 2017

35

Impact of a Translated Disease Self-Management Program on Employee Health and Productivity: Six-Month Findings from a Randomized Controlled Trial

Smith, Matthew, Wilson, Mark, Robertson, Melissa, Padilla, Heather, Zuercher, Heather, Vandenberg, Robert, Corso, Phaedra, Lorig, Kate, Laurent, Diana, DeJoy, David

Journal:

International Journal of Environmental Research and Public Health

Year:

2018

Language:

english

File:

PDF, 716 KB

english, 2018

36

Workshop Characteristics Related to Chronic Disease Self-Management Education Program Attendance

Smith, Matthew Lee, Ory, Marcia G., Jiang, Luohua, Lorig, Kate, Kulinski, Kristie P., Ahn, SangNam

Journal:

Frontiers in Public Health

Year:

2015

Language:

english

File:

PDF, 655 KB

english, 2015

37

National Dissemination of Chronic Disease Self-Management Education Programs: An Incremental Examination of Delivery Characteristics

Smith, Matthew Lee, Ory, Marcia G., Ahn, SangNam, Kulinski, Kristie P., Jiang, Luohua, Horel, Scott, Lorig, Kate

Journal:

Frontiers in Public Health

Year:

2015

Language:

english

File:

PDF, 1.14 MB

english, 2015

38

Linking Evidence-Based Program Participant Data with Medicare Data: The Consenting Process and Correlates of Retrospective Participant Consents

Ritter, Philip Lloyd, Ory, Marcia G., Smith, Matthew Lee, Jiang, Luohua, Alonis, Audrey, Laurent, Diana D., Lorig, Kate

Journal:

Frontiers in Public Health

Year:

2015

Language:

english

File:

PDF, 428 KB

english, 2015

39

Chronic Disease Self-Management Program in the Workplace: Opportunities for Health Improvement

Smith, Matthew Lee, Wilson, Mark G., DeJoy, David M., Padilla, Heather, Zuercher, Heather, Corso, Phaedra, Vandenberg, Robert, Lorig, Kate, Ory, Marcia G.

Journal:

Frontiers in Public Health

Year:

2015

Language:

english

File:

PDF, 446 KB

english, 2015

40

Setting the Stage: Measure Selection, Coordination, and Data Collection for a National Self-Management Initiative

Kulinski, Kristie P., Boutaugh, Michele, Smith, Matthew Lee, Ory, Marcia G., Lorig, Kate

Journal:

Frontiers in Public Health

Year:

2015

Language:

english

File:

PDF, 438 KB

english, 2015

41

Concordance between Self-Reports and Medicare Claims among Participants in a National Study of Chronic Disease Self-Management Program

Jiang, Luohua, Zhang, Ben, Smith, Matthew Lee, Lorden, Andrea L., Radcliff, Tiffany A., Lorig, Kate, Howell, Benjamin L., Whitelaw, Nancy, Ory, Marcia G.

Journal:

Frontiers in Public Health

Year:

2015

Language:

english

File:

PDF, 207 KB

english, 2015

42

The Role of Session Zero in Successful Completion of Chronic Disease Self-Management Program Workshops

Jiang, Luohua, Smith, Matthew Lee, Chen, Shuai, Ahn, SangNam, Kulinski, Kristie P., Lorig, Kate, Ory, Marcia G.

Journal:

Frontiers in Public Health

Year:

2015

Language:

english

File:

PDF, 414 KB

english, 2015

43

Dissemination of Chronic Disease Self-Management Education (CDSME) Programs in the United States: Intervention Delivery by Rurality

Smith, Matthew, Towne, Samuel, Herrera-Venson, Angelica, Cameron, Kathleen, Kulinski, Kristie, Lorig, Kate, Horel, Scott, Ory, Marcia

Journal:

International Journal of Environmental Research and Public Health

Year:

2017

Language:

english

File:

PDF, 1.83 MB

english, 2017

44

CEV: Constant Lévylasticity of Variance

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 366 KB

english, 2012

45

Pricing of Variance Swaps under a Credit-Equity Modeling Framework

Lorig, Matthew, Mendoza, Rafael

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 783 KB

english, 2012

46

Implied Vol for Any Local-Stochastic Vol Model

Lorig, Matthew, Pagliarani, Stefano, Pascucci, Andrea

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 573 KB

english, 2013

47

Time-Changed Fast Mean-Reverting Stochastic Volatility Models

Journal:

SSRN Electronic Journal

Year:

2010

Language:

english

File:

PDF, 289 KB

english, 2010

48

Second Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis & Calibration

Fouque, Jean-Pierre, Lorig, Matthew, Sircar, Ronnie

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 460 KB

english, 2012

49

Leveraged ETF Implied Volatilities from ETF Dynamics

Leung, Tim, Lorig, Matthew, Pascucci, Andrea

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 613 KB

english, 2014

50

Portfolio Optimization Under Local-Stochastic Volatility: Coefficient Taylor Series Approximations & Implied Sharpe Ratio

Lorig, Matthew, Sircar, Ronnie

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 352 KB

english, 2015