Details about Roger Lord
Access statistics for papers by Roger Lord.
Last updated 2014-08-11. Update your information in the RePEc Author Service.
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- A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes
MPRA Paper, University Library of Munich, Germany View citations (35)
- A comparison of biased simulation schemes for stochastic volatility models
Quantitative Finance, 2010, 10, (2), 177-194 View citations (59)
- Comment on: A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model
Applied Mathematical Finance, 2010, 17, (4), 373-376 View citations (1)
- Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
Insurance: Mathematics and Economics, 2009, 45, (3), 436-448 View citations (8)
- Level-Slope-Curvature - Fact or Artefact?
Applied Mathematical Finance, 2007, 14, (2), 105-130 View citations (7)