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Details about Roger Lord

Homepage:http://www.rogerlord.com
Workplace:Cardano

Access statistics for papers by Roger Lord.

Last updated 2014-08-11. Update your information in the RePEc Author Service.

Short-id: plo97


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Working Papers

2007

  1. A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes
    MPRA Paper, University Library of Munich, Germany Downloads View citations (23)

Journal Articles

2010

  1. A comparison of biased simulation schemes for stochastic volatility models
    Quantitative Finance, 2010, 10, (2), 177-194 Downloads View citations (42)
  2. Comment on: A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model
    Applied Mathematical Finance, 2010, 17, (4), 373-376 Downloads

2009

  1. Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
    Insurance: Mathematics and Economics, 2009, 45, (3), 436-448 Downloads View citations (4)

2007

  1. Level-Slope-Curvature - Fact or Artefact?
    Applied Mathematical Finance, 2007, 14, (2), 105-130 Downloads View citations (5)
 
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