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 | 1123 | 2003 |

The value of an Asian option LCG Rogers, Z Shi Journal of Applied Probability 32 (4), 1077-1088, 1995 | 750 | 1995 |

Estimating variance from high, low and closing prices LCG Rogers, SE Satchell The Annals of Applied Probability, 504-512, 1991 | 740 | 1991 |

Arbitrage with fractional Brownian motion LCG Rogers Mathematical Finance 7 (1), 95-105, 1997 | 732 | 1997 |

Monte Carlo valuation of American options LCG Rogers Mathematical Finance 12 (3), 271-286, 2002 | 699 | 2002 |

Complete models with stochastic volatility DG Hobson, LCG Rogers Mathematical Finance 8 (1), 27-48, 1998 | 389 | 1998 |

Diffusions, Markov processes, and martingales: Foundations D Williams, LCG Rogers John Wiley & Sons, 1979 | 383 | 1979 |

Failure and rescue in an interbank network LCG Rogers, LAM Veraart Management Science 59 (4), 882-898, 2013 | 354 | 2013 |

Optimal capital structure and endogenous default B Hilberink, LCG Rogers Finance and Stochastics 6 (2), 237-263, 2002 | 286 | 2002 |

Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains LCG Rogers The Annals of Applied Probability, 390-413, 1994 | 275 | 1994 |

Markov functions LCG Rogers, JW Pitman The Annals of Probability, 573-582, 1981 | 271 | 1981 |

The potential approach to the term structure of interest rates and foreign exchange rates LCG Rogers Mathematical Finance 7 (2), 157-176, 1997 | 246 | 1997 |

Which model for term-structure of interest rates should one use? LCG Rogers Institute for Mathematics and Its Applications 65, 93, 1995 | 225 | 1995 |

Coupling of multidimensional diffusions by reflection T Lindvall, LCG Rogers The Annals of Probability, 860-872, 1986 | 187 | 1986 |

Robust hedging of barrier options H Brown, D Hobson, LCG Rogers Mathematical Finance 11 (3), 285-314, 2001 | 183 | 2001 |

The relaxed investor and parameter uncertainty LCG Rogers Finance and Stochastics 5 (2), 131-154, 2001 | 178 | 2001 |

Equivalent martingale measures and no-arbitrage LCG Rogers Stochastics: An International Journal of Probability and Stochastic …, 1994 | 177 | 1994 |

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 | 174 | 1994 |

Option pricing with Markov-modulated dynamics A Jobert, LCG Rogers SIAM Journal on Control and Optimization 44 (6), 2063-2078, 2006 | 169 | 2006 |