Details about Roger Lord

Access statistics for papers by Roger Lord.

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

Short-id: plo97

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 View citations (50)

Journal Articles

2010

1. A comparison of biased simulation schemes for stochastic volatility models
   Quantitative Finance, 2010, 10, (2), 177-194 View citations (106)
2. 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)

2009

3. Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
   Insurance: Mathematics and Economics, 2009, 45, (3), 436-448 View citations (14)

2007

4. Level-Slope-Curvature - Fact or Artefact?
   Applied Mathematical Finance, 2007, 14, (2), 105-130 View citations (9)