Details about Roger Lord

Access statistics for papers by Roger Lord.

Last updated 2008-02-06. Update your information in the RePEc Author Service.

Short-id: plo97

Working Papers

2007

1. A Comparison of Biased Simulation Schemes for Stochastic Volatility Models
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
2. A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes
   MPRA Paper, University Library of Munich, Germany View citations
3. Optimal Fourier Inversion in Semi-analytical Option Pricing
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations

2006

4. Why the Rotation Count Algorithm works
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations

2005

5. Level-Slope-Curvature - Fact or Artefact?
   Tinbergen Institute Discussion Papers, Tinbergen Institute
   See also Journal Article in Applied Mathematical Finance (2007)

Journal Articles

2007

1. Level-Slope-Curvature - Fact or Artefact?
   Applied Mathematical Finance, 2007, 14, (2), 105-130
   See also Working Paper (2005)