Professor Lorig obtained a PhD in physics from the University of California at Santa Barbara in 2011. From 2011 to 2014 he worked as a postdoctoral researcher in the department of Operations Research and Financial Engineering at Princeton University. And in 2014 he joined the Department of Applied Mathematics at the University of Washington.
Professor Lorig's research focuses on solving problems that arise in the financial industry. He has written on various topics including derivative pricing, hedging, implied volatility and portfolio management. His research combines tools from stochastic analysis, spectral theory and perturbation methods for PDEs. Of late, professor Lorig has been particularly interested in model-free approaches to pricing and hedging path-dependent derivative assets.