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L C G Rogers
L C G Rogers
Statistical Laboratory, University of Cambridge
Verified email at cam.ac.uk - Homepage
Title
Cited by
Cited by
Year
Diffusions, Markov processes and martingales: Volume 2, Itô calculus
LCG Rogers, D Williams
Cambridge university press, 2000
4918*2000
Estimating variance from high, low and closing prices
LCG Rogers, SE Satchell
The Annals of Applied Probability, 504-512, 1991
8511991
Arbitrage with fractional Brownian motion
LCG Rogers
Mathematical finance 7 (1), 95-105, 1997
8231997
The value of an Asian option
LCG Rogers, Z Shi
Journal of Applied Probability 32 (4), 1077-1088, 1995
7871995
Monte Carlo valuation of American options
LCG Rogers
Mathematical Finance 12 (3), 271-286, 2002
7402002
Failure and rescue in an interbank network
LCG Rogers, LAM Veraart
Management Science 59 (4), 882-898, 2013
4472013
Complete models with stochastic volatility
DG Hobson, LCG Rogers
Mathematical Finance 8 (1), 27-48, 1998
4211998
Markov functions
LCG Rogers, JW Pitman
The Annals of Probability, 573-582, 1981
3191981
Optimal capital structure and endogenous default
B Hilberink, LCG Rogers
Finance and Stochastics 6, 237-263, 2002
3032002
Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains
LCG Rogers
The Annals of Applied Probability, 390-413, 1994
3031994
The potential approach to the term structure of interest rates and foreign exchange rates
LCG Rogers
Mathematical Finance 7 (2), 157-176, 1997
2501997
Which model for term-structure of interest rates should one use?
LCG Rogers
Institute for Mathematics and Its Applications 65, 93, 1995
2231995
Coupling of multidimensional diffusions by reflection
T Lindvall, LCG Rogers
The Annals of Probability, 860-872, 1986
2141986
Estimating the volatility of stock prices: a comparison of methods that use high and low prices
LCG Rogers, SE Satchell, Y Yoon
Applied Financial Economics 4 (3), 241-247, 1994
2061994
Robust hedging of barrier options
H Brown, D Hobson, LCG Rogers
Mathematical Finance 11 (3), 285-314, 2001
1992001
Equivalent martingale measures and no-arbitrage
LCG Rogers
Stochastics: An International Journal of Probability and Stochastic …, 1994
1871994
The relaxed investor and parameter uncertainty
LCG Rogers
Finance and stochastics 5, 131-154, 2001
1842001
Option pricing with Markov-modulated dynamics
A Jobert, LCG Rogers
SIAM Journal on Control and Optimization 44 (6), 2063-2078, 2006
1822006
Optimal investment
LCG Rogers
Springer, 2013
1792013
The cost of illiquidity and its effects on hedging
LCG Rogers, S Singh
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2010
1682010
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