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Leonard C G Rogers

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This is information that was supplied by Leonard Rogers in registering through RePEc. If you are Leonard C G Rogers , 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: Leonard
Middle Name: C G
Last Name: Rogers
Suffix:

RePEc Short-ID: pro287

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

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

Works

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Working papers

  1. Moritz Duembgen & L. C. G. Rogers, 2014. "Investing and Stopping," Papers 1403.0202, arXiv.org.
  2. M. Duembgen & L. C. G. Rogers, 2014. "Estimate nothing," Papers 1401.5666, arXiv.org.
  3. L C G Rogers & Pawel Zaczkowski, 2013. "Monte Carlo approximation to optimal investment," Papers 1305.3433, arXiv.org.
  4. Tino Kluge & L. C. G. Rogers, 2012. "The potential approach in practice," Papers 1204.5718, arXiv.org.
  5. Angus A Brown & L C G Rogers, 2010. "Diverse Beliefs," Papers 1001.1450, arXiv.org.
  6. A. A. Brown & L. C. G. Rogers, 2009. "Heterogeneous Beliefs with Finite-Lived Agents," Papers 0907.4953, arXiv.org.
  7. L. C. G. Rogers & Fanyin Zhou, 2008. "Estimating correlation from high, low, opening and closing prices," Papers 0804.0162, arXiv.org.
  8. Umut Cetin & L.C.G. Rogers, 2007. "Modeling liquidity effects in discrete time," LSE Research Online Documents on Economics 2844, London School of Economics and Political Science, LSE Library.
  9. A. Jobert & L. C. G. Rogers, 2007. "Valuations and dynamic convex risk measures," Papers 0709.0232, arXiv.org.
  10. L. C. Rogers & Jose A. Scheinkman, 2003. "Optimal Exercise of American Claims When Markets Are Not Complete," Levine's Working Paper Archive 506439000000000114, David K. Levine.
  11. J. Scheinkman & C. Rogers L., 2003. "Optimal Exercise of American Claims When," Princeton Economic Theory Working Papers 77e0e688f3178298289e06d42, David K. Levine.
  12. 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.

Articles

  1. Roman Muraviev & L. Rogers, 2013. "Utilities bounded below," Annals of Finance, Springer, vol. 9(2), pages 271-289, May.
  2. L. Rogers & M. Tehranchi, 2010. "Can the implied volatility surface move by parallel shifts?," Finance and Stochastics, Springer, vol. 14(2), pages 235-248, April.
  3. Giuseppe Di Graziano & L. C. G. Rogers, 2009. "Equity with Markov-modulated dividends," Quantitative Finance, Taylor & Francis Journals, vol. 9(1), pages 19-26.
  4. 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.
  5. A. Jobert & L. C. G. Rogers, 2008. "Valuations And Dynamic Convex Risk Measures," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 1-22.
  6. L. Rogers & José Scheinkman, 2007. "Optimal exercise of executive stock options," Finance and Stochastics, Springer, vol. 11(3), pages 357-372, July.
  7. I. Klein & L. C. G. Rogers, 2007. "Duality In Optimal Investment And Consumption Problems With Market Frictions," Mathematical Finance, Wiley Blackwell, vol. 17(2), pages 225-247.
  8. Umut Çetin & L. C. G. Rogers, 2007. "Modeling Liquidity Effects In Discrete Time," Mathematical Finance, Wiley Blackwell, vol. 17(1), pages 15-29.
  9. P.M. Hartley & L.C.G. Rogers, 2005. "Two-Sector Stochastic Growth Models ," Australian Economic Papers, Wiley Blackwell, vol. 44(4), pages 322-351, December.
  10. J. Aquilina & L. C. G. Rogers, 2004. "The Squared Ornstein-Uhlenbeck Market," Mathematical Finance, Wiley Blackwell, vol. 14(4), pages 487-513.
  11. L. C. G. Rogers, 2002. "Monte Carlo valuation of American options," Mathematical Finance, Wiley Blackwell, vol. 12(3), pages 271-286.
  12. Bianca Hilberink & L.C.G. Rogers, 2002. "Optimal capital structure and endogenous default," Finance and Stochastics, Springer, vol. 6(2), pages 237-263.
  13. L.C.G. Rogers, 2001. "The relaxed investor and parameter uncertainty," Finance and Stochastics, Springer, vol. 5(2), pages 131-154.
  14. Haydyn Brown & David Hobson & L. C. G. Rogers, 2001. "Robust Hedging of Barrier Options," Mathematical Finance, Wiley Blackwell, vol. 11(3), pages 285-314.
  15. L. C. G. Rogers & S. E. Satchell, 2000. "Does the behaviour of the asset tell us anything about the option price formula? A cautionary tale," Applied Financial Economics, Taylor & Francis Journals, vol. 10(1), pages 37-39.
  16. 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.
  17. Dybvig, Philip H & Rogers, L C G & Back, Kerry, 1999. "Portfolio Turnpikes," Review of Financial Studies, Society for Financial Studies, vol. 12(1), pages 165-95.
  18. L. C. G. Rogers, 1998. "Volatility Estimation with Price Quanta," Mathematical Finance, Wiley Blackwell, vol. 8(3), pages 277-290.
  19. David G. Hobson & L. C. G. Rogers, 1998. "Complete Models with Stochastic Volatility," Mathematical Finance, Wiley Blackwell, vol. 8(1), pages 27-48.
  20. L. C. G. Rogers, 1997. "Arbitrage with Fractional Brownian Motion," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 95-105.
  21. Dybvig, Philip H & Rogers, L C G, 1997. "Recovery of Preferences from Observed Wealth in a Single Realization," Review of Financial Studies, Society for Financial Studies, vol. 10(1), pages 151-74.
  22. L.C.G. Rogers & E.J. Stapleton, 1997. "Fast accurate binomial pricing," Finance and Stochastics, Springer, vol. 2(1), pages 3-17.
  23. L. C. G. Rogers, 1997. "The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates," Mathematical Finance, Wiley Blackwell, vol. 7(2), pages 157-176.
  24. Bruss, F. T. & Rogers, L. C. G., 1991. "Pascal processes and their characterization," Stochastic Processes and their Applications, Elsevier, vol. 37(2), pages 331-338, April.
  25. Bruss, F. Thomas & Rogers, L. C. G., 1991. "Embedding optimal selection problems in a Poisson process," Stochastic Processes and their Applications, Elsevier, vol. 38(2), pages 267-278, August.

NEP Fields

6 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (1) 2010-01-16
  2. NEP-CMP: Computational Economics (1) 2013-05-19
  3. NEP-ECM: Econometrics (1) 2014-02-02

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