Roger Lord

Cardano Risk Management

Rotterdam 3011 AA

Netherlands

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 3,420

SSRN RANKINGS

Top 3,420

in Total Papers Downloads

10,845

CITATIONS
Rank 2,022

SSRN RANKINGS

Top 2,022

in Total Papers Citations

227

Scholarly Papers (12)

1.

A Comparison of Biased Simulation Schemes for Stochastic Volatility Models

Tinbergen Institute Discussion Paper No. 06-046/4
Number of pages: 30 Posted: 19 May 2006 Last Revised: 20 Mar 2008
Cardano Risk Management, Credit Suisse and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 2,219 (5,942)
Citation 68

Abstract:

Loading...

Stochastic volatility, Heston, square root process, CEV process, Euler-Maruyama, discretisation, strong convergence, weak convergence, boundary behaviour

2.

Pricing Long-Maturity Equity and FX Derivatives with Stochastic Interest Rates and Stochastic Volatility

Insurance: Mathematics and Economics, Vol. 45, No. 3, 2009
Number of pages: 28 Posted: 29 Apr 2008 Last Revised: 09 May 2011
Delta Lloyd, Cardano Risk Management, Maastricht University and Longitude Solutions
Downloads 1,885 (7,850)
Citation 11

Abstract:

Loading...

Stochastic volatility, Stochastic interest rates, Schöbel-Zhu, Hull-White, Foreign Exchange, Forward starting options

3.

Optimal Fourier Inversion in Semi-Analytical Option Pricing

Tinbergen Institute Discussion Paper No. 2006-066/2
Number of pages: 21 Posted: 03 Aug 2006
Roger Lord and Christian Kahl
Cardano Risk Management and
Downloads 1,302 (14,292)
Citation 36

Abstract:

Loading...

Option pricing, Fourier inversion, Carr-Madan, Heston, stochastic volatility, characteristic function, damping, saddlepoint approximations

4.

Partially Exact and Bounded Approximations for Arithmetic Asian Options

Number of pages: 48 Posted: 25 Mar 2005
Roger Lord
Cardano Risk Management
Downloads 1,006 (21,131)
Citation 16

Abstract:

Loading...

Asian option, average price option, basket option, lower bound, upper bound, analytical approximation, moment matching

5.

A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options Under Levy Processes

Number of pages: 23 Posted: 28 Feb 2007
Cardano Risk Management, Delft University of Technology, Rabobank International, London Branch and Center for Mathematics and Computer Science (CWI)
Downloads 960 (22,609)
Citation 64

Abstract:

Loading...

Option pricing , Bermudan options, American options, convolution, Lévy processes, Fast Fourier Transform

6.
Downloads 910 ( 24,480)
Citation 36

Complex Logarithms in Heston-Like Models

Number of pages: 30 Posted: 17 Mar 2008
Roger Lord and Christian Kahl
Cardano Risk Management and
Downloads 908 (24,149)
Citation 6

Abstract:

Loading...

Complex logarithm, affine jump-diffusion, stochastic volatility, Heston, characteristic function, option pricing, Fourier inversion, Variance Gamma, Schöbel-Zhu,exact simulation

Complex Logarithms in Heston-Like Models

Mathematical Finance, Vol. 20, Issue 4, pp. 671-694, October 2010
Number of pages: 24 Posted: 27 Sep 2010
Roger Lord and Christian Kahl
Cardano Risk Management and
Downloads 2 (660,561)
Citation 30
  • Add to Cart

Abstract:

Loading...

7.

Why the Rotation Count Algorithm Works

Tinbergen Institute Discussion Paper No. 2006-065/2
Number of pages: 33 Posted: 03 Aug 2006
Roger Lord and Christian Kahl
Cardano Risk Management and
Downloads 885 (25,522)
Citation 11

Abstract:

Loading...

Complex logarithm, affine jump-diffusion, stochastic volatility, Heston, characteristic function, moment stability, option pricing

8.

Level-Slope-Curvature - Fact or Artefact?

Applied Mathematical Finance, Vol. 14, No. 2, 2007, Tinbergen Institute Discussion Paper No. TI 05-083/2
Number of pages: 32 Posted: 20 Sep 2005 Last Revised: 09 May 2011
Roger Lord and Antoon Pelsser
Cardano Risk Management and Maastricht University
Downloads 629 (40,626)
Citation 10

Abstract:

Loading...

Principal components analysis, correlation matrix, total positivity, oscillation matrix, Schoenmakers-Coffey matrix

Monte Carlo Pricing in the Schöbel-Zhu Model and its Extensions

Number of pages: 25 Posted: 11 Oct 2009 Last Revised: 04 Oct 2011
Delta Lloyd, Cardano Risk Management and Maastricht University
Downloads 378 (75,976)
Citation 1

Abstract:

Loading...

Stochastic volatility, Stochastic interest rates, Schöbel-Zhu, Heston, Hull-White, discretisation

Monte Carlo Pricing in the Schöbel-Zhu Model and its Extensions

Netspar Discussion Paper No. 08/2009-046
Number of pages: 23 Posted: 23 Mar 2010
Delta Lloyd, Cardano Risk Management and Maastricht University
Downloads 119 (232,523)
Citation 1

Abstract:

Loading...

Stochastic Volatility, Stochastic Interest Rates, Schöbel-Zhu, Heston, Hull-White, Discretisation

10.

Control Variates for Callable LIBOR Exotics - A Preliminary Study

Proceedings of the 5th Actuarial and Financial Mathematics Day, M. Vanmaele et al, eds, Brussels
Number of pages: 11 Posted: 28 Oct 2008
Jacob Buitelaar and Roger Lord
Goldman Sachs International and Cardano Risk Management
Downloads 202 (148,479)

Abstract:

Loading...

LIBOR market model, variance reduction, control variates, Monte Carlo, Bermudans, callable derivatives, Longstaff-Schwartz

11.

Comment on: A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model

Number of pages: 4 Posted: 20 Oct 2008 Last Revised: 01 Oct 2009
Roger Lord
Cardano Risk Management
Downloads 184 (161,765)

Abstract:

Loading...

Complex logarithm, stochastic volatility, Heston, characteristic function

An Overview of Derivative Pricing in Gaussian Affine Asset Pricing Models: An Application to the KNW Model

Netspar Discussion Paper No. 04/2016-018
Number of pages: 25 Posted: 09 Apr 2016
Kees E. Bouwman and Roger Lord
Cardano Risk Management and Cardano Risk Management
Downloads 133 (213,328)
Citation 1

Abstract:

Loading...

An Overview of Derivative Pricing in Gaussian Affine Asset Pricing Models: An Application to the KNW Model

Number of pages: 24 Posted: 06 Apr 2016
Kees E. Bouwman and Roger Lord
Cardano Risk Management and Cardano Risk Management
Downloads 33 (458,317)

Abstract:

Loading...