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Publications

by members of

Centre for Research in Quantitative Finance (CRQF)
Cambridge Finance
University of Cambridge
Cambridge, United Kingdom

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institutions, not those affilated at the time of publication. List of registered members. Register yourself. This page is updated in the first days of each month.
| Working papers | Journal articles |

Working papers

    2009

  1. A. A. Brown & L. C. G. Rogers, 2009. "Heterogeneous Beliefs with Finite-Lived Agents," Quantitative Finance Papers 0907.4953, arXiv.org. [Downloadable!]

    2008

  1. L. C. G. Rogers & Fanyin Zhou, 2008. "Estimating correlation from high, low, opening and closing prices," Quantitative Finance Papers 0804.0162, arXiv.org. [Downloadable!]

    2007

  1. A. Jobert & L. C. G. Rogers, 2007. "Valuations and dynamic convex risk measures," Quantitative Finance Papers 0709.0232, arXiv.org. [Downloadable!]

    2003

  1. L. C. Rogers & Jose A. Scheinkman, 2003. "Optimal Exercise of American Claims When Markets Are Not Complete," Levine's Bibliography 506439000000000114, UCLA Department of Economics. [Downloadable!]
  2. J. Scheinkman & C. Rogers L., 2003. "Optimal Exercise of American Claims When," Princeton Economic Theory Working Papers 77e0e688f3178298289e06d42, David K. Levine. [Downloadable!]

    1993

  1. Rogers, L.C.G. & Satchell, S.E. & Yoon, Y., 1993. "Geometric Indices: A Theory of Hedging and Econometric Analysis with Applications to the UK Stock Market," Cambridge Working Papers in Economics 9319, Faculty of Economics, University of Cambridge.

Journal articles

    2009

  1. Giuseppe Di Graziano & L. C. G. Rogers, 2009. "A Dynamic Approach To The Modeling Of Correlation Credit Derivatives Using Markov Chains," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(01), pages 45-62. [Downloadable!] (restricted)
  2. Giuseppe Di Graziano & L. C. G. Rogers, 2009. "Equity with Markov-modulated dividends," Quantitative Finance, Taylor and Francis Journals, vol. 9(1), pages 19-26. [Downloadable!] (restricted)

    2008

  1. A. Jobert & L. C. G. Rogers, 2008. "Valuations And Dynamic Convex Risk Measures," Mathematical Finance, Blackwell Publishing, vol. 18(1), pages 1-22. [Downloadable!] (restricted)

    2007

  1. I. Klein & L. C. G. Rogers, 2007. "Duality In Optimal Investment And Consumption Problems With Market Frictions," Mathematical Finance, Blackwell Publishing, vol. 17(2), pages 225-247. [Downloadable!] (restricted)
  2. Umut Çetin & L. C. G. Rogers, 2007. "Modeling Liquidity Effects In Discrete Time," Mathematical Finance, Blackwell Publishing, vol. 17(1), pages 15-29. [Downloadable!] (restricted)
  3. L. Rogers & José Scheinkman, 2007. "Optimal exercise of executive stock options," Finance and Stochastics, Springer, vol. 11(3), pages 357-372, July. [Downloadable!] (restricted)

    2005

  1. P.M. Hartley & L.C.G. Rogers, 2005. "Two-Sector Stochastic Growth Models ," Australian Economic Papers, Blackwell Publishing, vol. 44(4), pages 322-351, December. [Downloadable!] (restricted)

    2004

  1. J. Aquilina & L. C. G. Rogers, 2004. "The Squared Ornstein-Uhlenbeck Market," Mathematical Finance, Blackwell Publishing, vol. 14(4), pages 487-513. [Downloadable!] (restricted)

    2002

  1. Bianca Hilberink & L.C.G. Rogers, 2002. "Optimal capital structure and endogenous default," Finance and Stochastics, Springer, vol. 6(2), pages 237-263. [Downloadable!] (restricted)

    2001

  1. L.C.G. Rogers, 2001. "The relaxed investor and parameter uncertainty," Finance and Stochastics, Springer, vol. 5(2), pages 131-154. [Downloadable!] (restricted)
  2. Haydyn Brown & David Hobson & L. C. G. Rogers, 2001. "Robust Hedging of Barrier Options," Mathematical Finance, Blackwell Publishing, vol. 11(3), pages 285-314. [Downloadable!] (restricted)

    2000

  1. Rogers, L. C. G. & Stummer, Wolfgang, 2000. "Consistent fitting of one-factor models to interest rate data," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 45-63, August. [Downloadable!] (restricted)
  2. Rogers, L C G & Satchell, S E, 2000. "Does the Behaviour of the Asset Tell Us Anything about the Option Price Formula? A Cautionary Tale," Applied Financial Economics, Taylor and Francis Journals, vol. 10(1), pages 37-39, February. [Downloadable!] (restricted)

    1999

  1. Dybvig, Philip H & Rogers, L C G & Back, Kerry, 1999. "Portfolio Turnpikes," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 12(1), pages 165-95.

    1997

  1. L.C.G. Rogers & E.J. Stapleton, 1997. "Fast accurate binomial pricing," Finance and Stochastics, Springer, vol. 2(1), pages 3-17. [Downloadable!] (restricted)
  2. Dybvig, Philip H & Rogers, L C G, 1997. "Recovery of Preferences from Observed Wealth in a Single Realization," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 10(1), pages 151-74.

    1994

  1. Rogers, L C G & Satchell, S E & Yoon, Y, 1994. "Estimating the Volatility of Stock Prices: A Comparison of Methods That Use High and Low Prices," Applied Financial Economics, Taylor and Francis Journals, vol. 4(3), pages 241-47, June. [Downloadable!] (restricted)
Did you know? The most prolific authors have over 700 items listed on IDEAS.

This page was last updated on 2009-12-2.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.