L. C. G. Rogers

University of Cambridge - Centre for Mathematical Sciences

Cambridge, CB3 9DD

United Kingdom

SCHOLARLY PAPERS

15

DOWNLOADS

536

SSRN CITATIONS
Rank 8,354

SSRN RANKINGS

Top 8,354

in Total Papers Citations

37

CROSSREF CITATIONS

83

Scholarly Papers (15)

1.

Failure and Rescue in an Interbank Network

Number of pages: 33 Posted: 25 Sep 2011
L. C. G. Rogers and Luitgard A. M. Veraart
University of Cambridge - Centre for Mathematical Sciences and London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 304 (101,622)
Citation 32

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interbank network, systemic risk, bailout, bank mergers

2.

Diverse Beliefs

Number of pages: 41 Posted: 14 Oct 2009
A. A. Brown and L. C. G. Rogers
University of Cambridge - Centre for Mathematical Sciences and University of Cambridge - Centre for Mathematical Sciences
Downloads 68 (341,783)
Citation 5

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Diverse beliefs, Heterogeneous beliefs, Beauty Contests, Trading Volumes

3.

Heterogeneous Beliefs with Finite-Lived Agents

Number of pages: 26 Posted: 29 Jul 2009
L. C. G. Rogers and A. A. Brown
University of Cambridge - Centre for Mathematical Sciences and University of Cambridge - Centre for Mathematical Sciences
Downloads 42 (425,778)
Citation 1

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diverse beliefs, heterogeneous beliefs, finite lifetimes

4.

The Squared Ornstein-Uhlenbeck Market

Mathematical Finance, Vol. 14, No. 4, pp. 487-513, October 2004
Number of pages: 27 Posted: 21 Sep 2004
John Aquilina and L. C. G. Rogers
University of Bath - School of Mathematical Sciences and University of Cambridge - Centre for Mathematical Sciences
Downloads 35 (454,568)
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5.

Modeling Liquidity Effects in Discrete Time

Mathematical Finance, Vol. 17, No. 1, pp. 15-29, January 2007
Number of pages: 15 Posted: 13 Dec 2006
Umut Çetin and L. C. G. Rogers
London School of Economics & Political Science (LSE) - Department of Statistics and University of Cambridge - Centre for Mathematical Sciences
Downloads 26 (498,610)
Citation 5
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6.

Monte Carlo Valuation of American Options

Mathematical Finance, Vol. 12, pp. 271-286, 2002
Number of pages: 16 Posted: 19 Mar 2003
L. C. G. Rogers
University of Cambridge - Centre for Mathematical Sciences
Downloads 24 (509,810)
Citation 3
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Monte Carlo, American Option, Duality, Lagrangian, Martingale, Snell Envelope

7.

Two-Sector Stochastic Growth Models

Australian Economic Papers, Vol. 44, No. 4, pp. 322-351, December 2005
Number of pages: 30 Posted: 07 Jan 2006
P.M. Hartley and L. C. G. Rogers
University of Bath and University of Cambridge - Centre for Mathematical Sciences
Downloads 22 (521,428)
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8.

Duality in Optimal Investment and Consumption Problems with Market Frictions

Mathematical Finance, Vol. 17, No. 2, pp. 225-247, April 2007
Number of pages: 23 Posted: 19 Mar 2007
I. Klein and L. C. G. Rogers
University of Vienna - Department of Statistics and Decision Support Systems and University of Cambridge - Centre for Mathematical Sciences
Downloads 15 (563,240)
Citation 1
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9.

Optimal Investment: Bounds and Heuristics

Journal of Computational Finance, Vol. 19, No. 2, Pages 1–28, 2015
Number of pages: 28 Posted: 15 Jun 2016
L. C. G. Rogers and Pawel Zaczkowski
University of Cambridge - Centre for Mathematical Sciences and University of Cambridge
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Optimal Investment, Duality, Pathwise; Simulation, Incomplete Market

10.

Market Selection: Hungry Misers and Bloated Bankrupts

Mathematics and Financial Economics, Vol. 5, No. 1, pp. 47-66.
Posted: 30 Nov 2010 Last Revised: 09 Nov 2011
Katsumasa Nishide and L. C. G. Rogers
Graduate School of Economics, Hitotsubashi University and University of Cambridge - Centre for Mathematical Sciences

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market seleciton, asset pricing, heterogeneous beliefs

11.

A Dynamic Approach to the Modeling of Correlation Credit Derivatives Using Markov Chains

International Journal of Theoretical and Applied Finance, Vol. 12, No. 1, pp. 45-62, 2009
Posted: 21 Apr 2010
L. C. G. Rogers and Giuseppe Di Graziano
University of Cambridge - Centre for Mathematical Sciences and Deutsche Bank AG

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CDO, credit derivatives, Markov chain, correlation, Laplace transform, copula, default risk

12.

Optimal Time to Exchange Two Baskets

Journal of Applied Probability, Vol. 48, No. 1, pp. 21-30, March 2011
Posted: 18 Dec 2009 Last Revised: 10 Jan 2012
Katsumasa Nishide and L. C. G. Rogers
Graduate School of Economics, Hitotsubashi University and University of Cambridge - Centre for Mathematical Sciences

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Geometric Brownian motion, optimal stopping time, continuation region, convex hull

13.

Portfolio Turnpikes

Review of Financial Studies, Vol. 12, No. 1
Posted: 09 Sep 1998
Philip H. Dybvig, L. C. G. Rogers and Kerry Back
Washington University in St. Louis - John M. Olin Business School, University of Cambridge - Centre for Mathematical Sciences and Rice University - Jesse H. Jones Graduate School of Business

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14.

Fast Accurate Binomial Pricing

Finance and Stochastics, Vol. 2 No. 1, 1998
Posted: 25 Sep 1997
L. C. G. Rogers and E. J. Stapleton
University of Cambridge - Centre for Mathematical Sciences and University of Bath - School of Mathematical Sciences

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15.

Recovery of Preferences from Observed Wealth in a Single Realization

REVIEW OF FINANCIAL STUDIES, Vol. 10, No. 1
Posted: 25 Nov 1996
Philip H. Dybvig and L. C. G. Rogers
Washington University in St. Louis - John M. Olin Business School and University of Cambridge - Centre for Mathematical Sciences

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