skip to content

Department of Pure Mathematics and Mathematical Statistics

Professor of Statistical Science

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

Publications

Duality in optimal investment and consumption problems with market frictions
I Klein, LCG Rogers
– Mathematical Finance
(2007)
17,
225
Modeling liquidity effects in discrete time
U Cetin, LCG Rogers
– Mathematical Finance
(2007)
17,
15
Pathwise Stochastic Optimal Control
LCG Rogers
– SIAM Journal on Control and Optimization
(2007)
46,
1116
The correlation of the maxima of correlated Brownian motions
LCG Rogers, L Shepp
– Journal of Applied Probability
(2006)
43,
880
One for all - The potential approach to pricing and hedging
LCG Rogers
– Progress in Industrial Mathematics at ECMI 2004
(2006)
8,
407
Option pricing with Markov-modulated dynamics
A Jobert, LCG Rogers
– SIAM Journal on Control and Optimization
(2006)
44,
2063
The squared Ornstein-Uhlenbeck market
J Aquilina, LCG Rogers
– Mathematical Finance
(2004)
14,
487
Why is the effect of proportional transaction costs $O(δ^2/3)$?
LCG Rogers
(2004)
351,
303
Paris-Princeton Lectures on Mathematical Finance 2002
P Bank, F Baudoin, H Föllmer, LCG Rogers, M Soner, N Touzi
(2003)
1814,
Duality in constrained optimal investment and consumption problems: A synthesis
LCG Rogers
– PARIS-PRINCETON LECTURES ON MATHEMATICAL FINANCE 2002
(2003)
1814,
95
  • <
  • 3 of 13
  • >