Scholar
Matthew Lorig
Google Scholar ID: xl7g5OMAAAAJ
University of Washington
Citations & Impact
Citations
375
H-index
11
i10-index
14
Publications
20
Co-authors
23
list available
Contact
Publications
Resume (English only)
Academic Achievements
- Co-recipient of the SIAM Activity Group on Financial Mathematics and Engineering (SIAG/FME) Early Career Prize in 2016; Visiting Professor in the Department of Engineering Mathematics at the University of Chile in 2019; Serves as an Associate Editor at Applied Mathematical Finance and SIAM Journal on Financial Mathematics.
Research Experience
- Postdoctoral Researcher and Lecturer at Princeton University in the Department of Operations Research and Financial Engineering; Currently a Professor in the Department of Applied Mathematics at the University of Washington, teaching in the Masters and PhD programs in Applied Mathematics, as well as its Masters program in Computational Finance and Risk Management.
Education
- PhD in Physics from the University of California at Santa Barbara; BS in Physics from the University of Minnesota.
Background
- Primary areas of research are Financial Mathematics and Applied Probability. Topics studied include robust pricing and replication of financial derivatives, asymptotic behavior of implied volatility, optimal investment, static hedging, and algorithmic trading.
Miscellany
- Has a blog where he occasionally records random thoughts.
