4. Economy
  5. Quantitative Finance
  6. Pricing of Securities

Matthew Lorig

Economy – Quantitative Finance – Pricing of Securities

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

Economy – Quantitative Finance – Pricing of Securities
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Pricing Derivatives on Multiscale Diffusions: an Eigenfunction Expansion Approach

Economy – Quantitative Finance – Computational Finance
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Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models

Economy – Quantitative Finance – Pricing of Securities
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Time-Changed Fast Mean-Reverting Stochastic Volatility Models

Economy – Quantitative Finance – Pricing of Securities
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