Details about Leonard C G Rogers

Access statistics for papers by Leonard C G Rogers.

Last updated 2009-09-02. Update your information in the RePEc Author Service.

Short-id: pro287

Working Papers

2009

1. Heterogeneous Beliefs with Finite-Lived Agents
   Quantitative Finance Papers, arXiv.org View citations

2008

2. Estimating correlation from high, low, opening and closing prices
   Quantitative Finance Papers, arXiv.org

2007

3. Valuations and dynamic convex risk measures
   Quantitative Finance Papers, arXiv.org
   See also Journal Article in Mathematical Finance (2008)

2003

4. Optimal Exercise of American Claims When
   Princeton Economic Theory Working Papers, David K. Levine
5. Optimal Exercise of American Claims When Markets Are Not Complete
   Levine's Bibliography, UCLA Department of Economics View citations

1993

6. Geometric Indices: A Theory of Hedging and Econometric Analysis with Applications to the UK Stock Market
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge

Journal Articles

2009

1. A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS
   International Journal of Theoretical and Applied Finance (IJTAF), 2009, 12, (01), 45-62
2. Equity with Markov-modulated dividends
   Quantitative Finance, 2009, 9, (1), 19-26

2008

3. VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
   Mathematical Finance, 2008, 18, (1), 1-22
   See also Working Paper (2007)

2007

4. DUALITY IN OPTIMAL INVESTMENT AND CONSUMPTION PROBLEMS WITH MARKET FRICTIONS
   Mathematical Finance, 2007, 17, (2), 225-247
5. MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
   Mathematical Finance, 2007, 17, (1), 15-29 View citations
6. Optimal exercise of executive stock options
   Finance and Stochastics, 2007, 11, (3), 357-372

2005

7. TWO-SECTOR STOCHASTIC GROWTH MODELS *
   Australian Economic Papers, 2005, 44, (4), 322-351 View citations

2004

8. THE SQUARED ORNSTEIN-UHLENBECK MARKET
   Mathematical Finance, 2004, 14, (4), 487-513 View citations

2002

9. Optimal capital structure and endogenous default
   Finance and Stochastics, 2002, 6, (2), 237-263 View citations

2001

10. Robust Hedging of Barrier Options
    Mathematical Finance, 2001, 11, (3), 285-314
11. The relaxed investor and parameter uncertainty
    Finance and Stochastics, 2001, 5, (2), 131-154 View citations

2000

12. Consistent fitting of one-factor models to interest rate data
    Insurance: Mathematics and Economics, 2000, 27, (1), 45-63 View citations
13. Does the Behaviour of the Asset Tell Us Anything about the Option Price Formula? A Cautionary Tale
    Applied Financial Economics, 2000, 10, (1), 37-39 View citations

1999

14. Portfolio Turnpikes
    Review of Financial Studies, 1999, 12, (1), 165-95

1997

15. Fast accurate binomial pricing
    Finance and Stochastics, 1997, 2, (1), 3-17 View citations
16. Recovery of Preferences from Observed Wealth in a Single Realization
    Review of Financial Studies, 1997, 10, (1), 151-74 View citations

1994

17. Estimating the Volatility of Stock Prices: A Comparison of Methods That Use High and Low Prices
    Applied Financial Economics, 1994, 4, (3), 241-47 View citations