Information about:
Leonard C G Rogers

Other registered authors

Email: [This author has chosen not to make the email address public]
Homepage: http://www.statslab.cam.ac.uk/~chris/
Postal Address:
Phone:

Affiliation

• Statistical Laboratory

  Homepage: http://www.statslab.cam.ac.uk
  Location: Cambridge, UK
  

• Centre for Research in Quantitative Finance (CRQF)
  Cambridge Finance
  University of Cambridge

  Location: Cambridge, United Kingdom
  Homepage: http://www.finance.group.cam.ac.uk/cqrf.htm
  Email:
  Phone:
  Fax:
  Postal:
  Handle: RePEc:edi:cqcamuk (registered authors at this institution)

Working papers

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

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

3. A. Jobert & L. C. G. Rogers, 2007. "Valuations and dynamic convex risk measures," Quantitative Finance Papers 0709.0232, arXiv.org. [Downloadable!]
   Published as:
   • 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)

4. J. Scheinkman & C. Rogers L., 2003. "Optimal Exercise of American Claims When," Princeton Economic Theory Working Papers 77e0e688f3178298289e06d42, David K. Levine. [Downloadable!]

5. 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!]

6. 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.

1. 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)

2. 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)

3. 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)
   Other versions:
   • A. Jobert & L. C. G. Rogers, 2007. "Valuations and dynamic convex risk measures," Quantitative Finance Papers 0709.0232, arXiv.org. [Downloadable!]

4. 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)

5. 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)

6. L. Rogers & José Scheinkman, 2007. "Optimal exercise of executive stock options," Finance and Stochastics, Springer, vol. 11(3), pages 357-372, July. [Downloadable!] (restricted)

7. 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)

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

9. 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)

10. L.C.G. Rogers, 2001. "The relaxed investor and parameter uncertainty," Finance and Stochastics, Springer, vol. 5(2), pages 131-154. [Downloadable!] (restricted)

11. 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)

12. 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)

13. 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)

14. 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.

15. L.C.G. Rogers & E.J. Stapleton, 1997. "Fast accurate binomial pricing," Finance and Stochastics, Springer, vol. 2(1), pages 3-17. [Downloadable!] (restricted)

16. 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.

17. 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)

1. NEP-FIN: Finance (1) 2003-01-27 Author is listed
2. NEP-FMK: Financial Markets (1) 2003-01-27 Author is listed
3. NEP-RMG: Risk Management (1) 2003-01-27 Author is listed

This page was last updated on 2009-11-12.