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Roger Lord

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This is information that was supplied by Roger Lord in registering through RePEc. If you are Roger Lord , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Roger
Middle Name:
Last Name: Lord
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RePEc Short-ID: plo97

Email: [This author has chosen not to make the email address public]
Homepage: http://www.rogerlord.com
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Affiliation

Cardano
Homepage: http://www.cardano.com
Location: Rotterdam

Works

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Working papers

  1. Lord, Roger & Fang, Fang & Bervoets, Frank & Oosterlee, Kees, 2007. "A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes," MPRA Paper 1952, University Library of Munich, Germany.
  2. Roger Lord & Christian Kahl, 2006. "Optimal Fourier Inversion in Semi-analytical Option Pricing," Tinbergen Institute Discussion Papers 06-066/2, Tinbergen Institute, revised 05 Jun 2007.
  3. Roger Lord & Remmert Koekkoek & Dick van Dijk, 2006. "A Comparison of Biased Simulation Schemes for Stochastic Volatility Models," Tinbergen Institute Discussion Papers 06-046/4, Tinbergen Institute, revised 07 Jun 2007.
  4. Roger Lord & Christian Kahl, 2006. "Why the Rotation Count Algorithm works," Tinbergen Institute Discussion Papers 06-065/2, Tinbergen Institute.
  5. Roger Lord & Antoon Pelsser, 2005. "Level-Slope-Curvature - Fact or Artefact?," Tinbergen Institute Discussion Papers 05-083/2, Tinbergen Institute.

Articles

  1. Roger Lord, 2010. "Comment on: A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model," Applied Mathematical Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 17(4), pages 373-376.
  2. Roger Lord & Remmert Koekkoek & Dick Van Dijk, 2010. "A comparison of biased simulation schemes for stochastic volatility models," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 10(2), pages 177-194.
  3. van Haastrecht, Alexander & Lord, Roger & Pelsser, Antoon & Schrager, David, 2009. "Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 436-448, December.
  4. Roger Lord & Antoon Pelsser, 2007. "Level-Slope-Curvature - Fact or Artefact?," Applied Mathematical Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 14(2), pages 105-130.

NEP Fields

5 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CMP: Computational Economics (1) 2007-03-03
  2. NEP-ECM: Econometrics (1) 2006-07-02
  3. NEP-ETS: Econometric Time Series (1) 2006-07-02
  4. NEP-FIN: Finance (4) 2005-09-29 2006-07-02 2006-08-12 2006-08-12. Author is listed
  5. NEP-KNM: Knowledge Management & Knowledge Economy (1) 2007-03-03

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