Follow
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
4232*2000
Adaptive finite element methods for differential equations
HM Soner, W Bangerth, R Rannacher, H Foellmer, LCG Rogers
Springer Science & Business Media, 2003
11232003
The value of an Asian option
LCG Rogers, Z Shi
Journal of Applied Probability 32 (4), 1077-1088, 1995
7501995
Estimating variance from high, low and closing prices
LCG Rogers, SE Satchell
The Annals of Applied Probability, 504-512, 1991
7401991
Arbitrage with fractional Brownian motion
LCG Rogers
Mathematical Finance 7 (1), 95-105, 1997
7321997
Monte Carlo valuation of American options
LCG Rogers
Mathematical Finance 12 (3), 271-286, 2002
6992002
Complete models with stochastic volatility
DG Hobson, LCG Rogers
Mathematical Finance 8 (1), 27-48, 1998
3891998
Diffusions, Markov processes, and martingales: Foundations
D Williams, LCG Rogers
John Wiley & Sons, 1979
3831979
Failure and rescue in an interbank network
LCG Rogers, LAM Veraart
Management Science 59 (4), 882-898, 2013
3542013
Optimal capital structure and endogenous default
B Hilberink, LCG Rogers
Finance and Stochastics 6 (2), 237-263, 2002
2862002
Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains
LCG Rogers
The Annals of Applied Probability, 390-413, 1994
2751994
Markov functions
LCG Rogers, JW Pitman
The Annals of Probability, 573-582, 1981
2711981
The potential approach to the term structure of interest rates and foreign exchange rates
LCG Rogers
Mathematical Finance 7 (2), 157-176, 1997
2461997
Which model for term-structure of interest rates should one use?
LCG Rogers
Institute for Mathematics and Its Applications 65, 93, 1995
2251995
Coupling of multidimensional diffusions by reflection
T Lindvall, LCG Rogers
The Annals of Probability, 860-872, 1986
1871986
Robust hedging of barrier options
H Brown, D Hobson, LCG Rogers
Mathematical Finance 11 (3), 285-314, 2001
1832001
The relaxed investor and parameter uncertainty
LCG Rogers
Finance and Stochastics 5 (2), 131-154, 2001
1782001
Equivalent martingale measures and no-arbitrage
LCG Rogers
Stochastics: An International Journal of Probability and Stochastic …, 1994
1771994
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
1741994
Option pricing with Markov-modulated dynamics
A Jobert, LCG Rogers
SIAM Journal on Control and Optimization 44 (6), 2063-2078, 2006
1692006
The system can't perform the operation now. Try again later.
Articles 1–20