Matthew Lorig

537 total citations
39 papers, 227 citations indexed

About

Matthew Lorig is a scholar working on Finance, Economics and Econometrics and Demography. According to data from OpenAlex, Matthew Lorig has authored 39 papers receiving a total of 227 indexed citations (citations by other indexed papers that have themselves been cited), including 35 papers in Finance, 9 papers in Economics and Econometrics and 8 papers in Demography. Recurrent topics in Matthew Lorig's work include Stochastic processes and financial applications (35 papers), Financial Risk and Volatility Modeling (25 papers) and Financial Markets and Investment Strategies (9 papers). Matthew Lorig is often cited by papers focused on Stochastic processes and financial applications (35 papers), Financial Risk and Volatility Modeling (25 papers) and Financial Markets and Investment Strategies (9 papers). Matthew Lorig collaborates with scholars based in United States, Italy and France. Matthew Lorig's co-authors include Andrea Pascucci, Stefano Pagliarani, Jean‐Pierre Fouque, Ronnie Sircar, Antoine Jacquier, Tim Leung, Bin Zou, Martin Forde, Hongzhong Zhang and Henryk K. Stolarski and has published in prestigious journals such as European Journal of Operational Research, Journal of Structural Engineering and Computers & Mathematics with Applications.

In The Last Decade

Matthew Lorig

34 papers receiving 209 citations

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name	h						Papers	Cites
Matthew Lorig United States	9	210	51	40	28	13	39	227
Alessandro Gnoatto Italy	8	188 0.9×	48 0.9×	48 1.2×	12 0.4×	18 1.4×	29	210
Martin Widdicks United Kingdom	7	274 1.3×	109 2.1×	24 0.6×	23 0.8×	13 1.0×	19	295
Stefano Pagliarani Italy	11	267 1.3×	28 0.5×	60 1.5×	57 2.0×	8 0.6×	41	284
Omar El Euch France	5	310 1.5×	119 2.3×	47 1.2×	37 1.3×	9 0.7×	5	330
Eduardo Abi Jaber France	9	222 1.1×	73 1.4×	34 0.8×	41 1.5×	9 0.7×	23	238
Chenxu Li China	10	244 1.2×	47 0.9×	54 1.4×	12 0.4×	31 2.4×	21	274
Mikhail Urusov Germany	9	195 0.9×	80 1.6×	20 0.5×	50 1.8×	6 0.5×	35	221
Andrey Itkin United States	7	163 0.8×	37 0.7×	44 1.1×	8 0.3×	8 0.6×	26	187
Elisa Nicolato Denmark	7	286 1.4×	125 2.5×	61 1.5×	18 0.6×	13 1.0×	11	311
Antonis Papapantoleon Germany	7	246 1.2×	74 1.5×	72 1.8×	13 0.5×	12 0.9×	22	270

Countries citing papers authored by Matthew Lorig

Since Specialization

Citations

This map shows the geographic impact of Matthew Lorig's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Matthew Lorig with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Matthew Lorig more than expected).

Fields of papers citing papers by Matthew Lorig

Since Specialization

Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Matthew Lorig. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Matthew Lorig. The network helps show where Matthew Lorig may publish in the future.

Co-authorship network of co-authors of Matthew Lorig

This figure shows the co-authorship network connecting the top 25 collaborators of Matthew Lorig. A scholar is included among the top collaborators of Matthew Lorig based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Matthew Lorig. Matthew Lorig is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

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20 of 20 papers shown

Leung, Tim, et al.. (2024). Optimal positioning in derivative securities in incomplete markets. 3(4). 466–489. 1 indexed citations

Lorig, Matthew, et al.. (2023). Short Communication: A Primer on Perpetuals. SIAM Journal on Financial Mathematics. 14(1). SC17–SC30. 5 indexed citations

Lorig, Matthew & Bin Zou. (2021). Bond indifference prices. Quantitative Finance. 21(7). 1223–1233.

Lorig, Matthew, Zhou Zhou, & Bin Zou. (2019). A Mathematical Analysis of Technical Analysis. Applied Mathematical Finance. 26(1). 38–68. 3 indexed citations

Lorig, Matthew, Stefano Pagliarani, & Andrea Pascucci. (2017). Explicit implied volatilities for multifactor local-stochastic volatility models. Institutional Research Information System (University of Udine). 22 indexed citations

Armstrong, John, Martin Forde, Matthew Lorig, & Hongzhong Zhang. (2017). Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default:Curvature and the Heat Kernel Expansion. 3 indexed citations

Leung, Tim, Matthew Lorig, & Andrea Pascucci. (2016). LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS. Mathematical Finance. 27(4). 1035–1068. 6 indexed citations

Lorig, Matthew, Stefano Pagliarani, & Andrea Pascucci. (2015). Pricing approximations and error estimates for local Levy-type models with default. Institutional Research Information System (University of Udine). 1 indexed citations

Lorig, Matthew, Stefano Pagliarani, & Andrea Pascucci. (2015). Analytical expansions for parabolic equations. Institutional Research Information System (University of Udine). 22 indexed citations

10.

Lorig, Matthew, Stefano Pagliarani, & Andrea Pascucci. (2015). A family of density expansions for Levy-type processes with default. Archivio istituzionale della ricerca (Alma Mater Studiorum Università di Bologna). 17 indexed citations

11.

Lorig, Matthew, Stefano Pagliarani, & Andrea Pascucci. (2015). Pricing approximations and error estimates for local Lévy-type models with default. Computers & Mathematics with Applications. 69(10). 1189–1219.

12.

Jacquier, Antoine & Matthew Lorig. (2015). From characteristic functions to implied volatility expansions. Advances in Applied Probability. 47(3). 837–857. 8 indexed citations

13.

Lorig, Matthew, Stefano Pagliarani, & Andrea Pascucci. (2014). A Taylor series approach to pricing and implied volatility for local–stochastic volatility models. The Journal of Risk. 17(2). 3–19.

14.

Leung, Tim, Matthew Lorig, & Andrea Pascucci. (2014). Leveraged ETF Implied Volatilities from ETF Dynamics. SSRN Electronic Journal. 4 indexed citations

15.

Lorig, Matthew. (2014). Indifference Prices, Implied Volatilities and Implied Sharpe Ratios. SSRN Electronic Journal. 1 indexed citations

16.

Lorig, Matthew, Stefano Pagliarani, & Andrea Pascucci. (2013). Implied vol for any local-stochastic vol model. arXiv (Cornell University). 2 indexed citations

17.

Lorig, Matthew, Stefano Pagliarani, & Andrea Pascucci. (2013). Explicit implied vols for multifactor local-stochastic vol models. arXiv (Cornell University). 7 indexed citations

18.

Lorig, Matthew, Stefano Pagliarani, & Andrea Pascucci. (2013). Implied Vol for Any Local-Stochastic Vol Model. SSRN Electronic Journal. 4 indexed citations

19.

Lorig, Matthew. (2012). C\'EV: Constant L\'evylasticity of Variance. arXiv (Cornell University). 1 indexed citations

20.

Lorig, Matthew. (2012). Exponential Lévy Models with Stochastic Volatility and Stochastic Jump-Intensity. SSRN Electronic Journal. 3 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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