Matt Lorig

Welcome to my homepage!  I am a Professor in the Department of Applied Mathematics at the University of Washington.  I teach courses in my department's Masters and PhD programs in Applied Mathematics, as well as its Masters program in Computational Finance and Risk Management.

Prior to joining the University of Washington, I was a Postdoctoral Researcher and Lecturer at Princeton University in the Department of Operations Research and Financial Engineering.  I hold a PhD in Physics from the University of California at Santa Barbara and a BS in Physics from the University of Minnesota.

My primary areas of research are Financial Mathematics and Applied Probability.  Among the topics I have studied include robust pricing and replication of financial derivatives, asymptotic behavior of implied volatility, optimal investment, static hedging, and algorithmic trading.  More recently, I have become interested in optimal bookmaking for betting markets.  You can find preprint versions of most of my publications on my arXiv author page.

In 2016, I was a co-recipient of the  SIAM Activity Group on Financial Mathematics and Engineering (SIAG/FME) Early Career Prize,  In 2019, I was a Visiting Professor in the Department of Engineering Mathematics and the University of Chile.  And I currently serve as an Associate Editor at Applied Mathematical Finance as well as SIAM Journal on Financial Mathematics.

I have a blog, in which I record random thoughts from time to time.

If you wish to get in touch with me, my contact information can be found at the top of my Curriculum Vitae.