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Department of Pure Mathematics and Mathematical Statistics

Professor of Statistical Science

Research Interests: Financial mathematics, probability theory, stochastic analysis, statistics, mathematical economics

Publications

Dual valuation and hedging of Bermudan options
LCG Rogers
– SIAM Journal on Financial Mathematics
(2010)
1,
604
Can the implied volatility surface move by parallel shifts?
LCG Rogers, MR Tehranchi
– Finance and Stochastics
(2010)
14,
235
Equity with Markov-modulated dividends
G Di Graziano, LCG Rogers
– Quantitative Finance
(2009)
9,
19
Optimal and robust contracts for a risk-constrained principal
LCG Rogers
– Mathematics and Financial Economics
(2009)
2,
151
A dynamic approach to the modeling of correlation credit derivatives using Markov chains
G DI GRAZIANO, LCG ROGERS
– International Journal of Theoretical and Applied Finance
(2009)
12,
45
A Stochastic Volatility Alternative to SABR
LCG Rogers, LAM Veraart
– Journal of Applied Probability
(2008)
45,
1071
Estimating correlation from high, low, opening and closing prices
LCG Rogers, FY Zhou
– The Annals of Applied Probability
(2008)
18,
813
Optimal and robust contracts for a risk-constrained principal
LCG Rogers
– Mathematics and Financial Economics
(2008)
2,
1071
Valuations and dynamic convex risk measures
A Jobert, LCG Rogers
– Mathematical Finance
(2008)
18,
1
Optimal exercise of executive stock options
LCG Rogers, J Scheinkman
– Finance and Stochastics
(2007)
11,
357
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