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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

Sense, nonsense and the S&P 500
LCG Rogers
– Decisions in Economics and Finance
(2018)
41,
447
Investing and Stopping
M Duembgen, LCG Rogers
– Journal of Applied Probability
(2018)
51,
898
Combining different models
LCG Rogers
– Mathematics and Financial Economics
(2018)
12,
97
Wiener–Hopf Factorization of Diffusions and Lévy Processes
LCG ROGERS
– Proceedings of the London Mathematical Society
(2016)
s3-47,
177
Smooth Transition Densities for One-Dimensional Diffusions
LCG ROGERS
– Bulletin of the London Mathematical Society
(2016)
17,
157
A Guided Tour through Excursions
LCG ROGERS
– Bulletin of the London Mathematical Society
(2016)
21,
305
Characterising One‐Dimensional Diffusions using Stochastic Calculus
LCG ROGERS
– Bulletin of the London Mathematical Society
(2016)
19,
183
Fastest coupling of random walks
LCG Rogers
– Journal of the London Mathematical Society
(2016)
60,
630
PROBABILITY THAT 2 SAMPLES IN THE PLANE WILL HAVE DISJOINT CONVEX HULLS
LCG ROGERS
– Journal of Applied Probability
(2016)
15,
790
The value of an Asian option
LCG Rogers, Z Shi
– Journal of Applied Probability
(2016)
32,
1077
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