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Lord, Roger's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
8,098 |
Total
Citations
130 |
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1.
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Lord, Roger
Cardano Risk Management Koekkoek, Remmert
Credit Suisse van Dijk, Dick J. C.
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
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19 May 06
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Last Revised:
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20 Mar 08
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1,550
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41
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Stochastic volatility, Heston, square root process, CEV process, Euler-Maruyama, discretisation, strong convergence, weak convergence, boundary behaviour
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2.
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van Haastrecht, Alexander
VU University Amsterdam - Faculty of Economics and Business Administration Lord, Roger
Cardano Risk Management Pelsser, Antoon
Maastricht University Schrager, David
ING Group
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29 Apr 08
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Last Revised:
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09 May 11
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1,469
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7
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Stochastic volatility, Stochastic interest rates, Schöbel-Zhu, Hull-White, Foreign Exchange, Forward starting options
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3.
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Lord, Roger
Cardano Risk Management Kahl, Christian
Cardano Risk Management
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917
(10,606)
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21
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Option pricing, Fourier inversion, Carr-Madan, Heston, stochastic volatility, characteristic function, damping, saddlepoint approximations
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4.
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Lord, Roger
Cardano Risk Management
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884
(11,201)
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8
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Asian option, average price option, basket option, lower bound, upper bound, analytical approximation, moment matching
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5.
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Lord, Roger
Cardano Risk Management Fang, Fang
Delft University of Technology Bervoets, Frank
Rabobank International, London Branch Oosterlee, Cornelis W.
Center for Mathematics and Computer Science (CWI)
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792
(13,324)
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20
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Option pricing , Bermudan options, American options, convolution, Lévy processes, Fast Fourier Transform
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6.
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Complex Logarithms in Heston-Like Models
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Lord, Roger
Cardano Risk Management Kahl, Christian
Cardano Risk Management
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Posted:
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17 Mar 08
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Last Revised:
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27 Sep 10
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770
(13,905)
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19
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Lord, Roger
Cardano Risk Management Kahl, Christian
Cardano Risk Management
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2
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19
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Lord, Roger
Cardano Risk Management Kahl, Christian
Cardano Risk Management
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768
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19
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Complex logarithm, affine jump-diffusion, stochastic volatility, Heston, characteristic function, option pricing, Fourier inversion, Variance Gamma, Schöbel-Zhu,exact simulation
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7.
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Lord, Roger
Cardano Risk Management Kahl, Christian
Cardano Risk Management
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769
(13,937)
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8
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Complex logarithm, affine jump-diffusion, stochastic volatility, Heston, characteristic function, moment stability, option pricing
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8.
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Lord, Roger
Cardano Risk Management Pelsser, Antoon
Maastricht University
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20 Sep 05
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Last Revised:
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09 May 11
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352
(39,790)
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6
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Principal components analysis, correlation matrix, total positivity, oscillation matrix, Schoenmakers-Coffey matrix
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9.
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Monte Carlo Pricing in the Schöbel-Zhu Model and its Extensions
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Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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van Haastrecht, Alexander
VU University Amsterdam - Faculty of Economics and Business Administration Lord, Roger
Cardano Risk Management Pelsser, Antoon
Maastricht University
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Posted:
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11 Oct 09
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Last Revised:
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04 Oct 11
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300
(48,112)
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van Haastrecht, Alexander
VU University Amsterdam - Faculty of Economics and Business Administration Lord, Roger
Cardano Risk Management Pelsser, Antoon
Maastricht University
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70
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Stochastic Volatility, Stochastic Interest Rates, Schöbel-Zhu, Heston, Hull-White, Discretisation
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van Haastrecht, Alexander
VU University Amsterdam - Faculty of Economics and Business Administration Lord, Roger
Cardano Risk Management Pelsser, Antoon
Maastricht University
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| Posted: |
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11 Oct 09
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Last Revised:
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04 Oct 11
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230
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Stochastic volatility, Stochastic interest rates, Schöbel-Zhu, Heston, Hull-White, discretisation
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10.
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Lord, Roger
Cardano Risk Management
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| Posted: |
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20 Oct 08
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Last Revised:
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01 Oct 09
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148
(98,999)
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Complex logarithm, stochastic volatility, Heston, characteristic function
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11.
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Buitelaar, Jacob
Goldman Sachs International Lord, Roger
Cardano Risk Management
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147
(99,530)
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LIBOR market model, variance reduction, control variates, Monte Carlo, Bermudans, callable derivatives, Longstaff-Schwartz
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Records 1 -
11
of 11 matches
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