Papers

Here are my papers, many of which are downloadable. Published versions may differ from what is available from this site.


  1. Ernst, P., Rogers, L.C.G. & Zhou, Q (2016). The value of foresight. Preprint, arxiv:1601.05872.
  2. Rogers, L.C.G. (2015) Bermudan options by simulation. Preprint, arxiv:1508.06117.
  3. Duembgen, M. & Rogers, L.C.G. (2014). The joint law of the extrema, signature, and final value of a stopped random walk. Preprint, arxiv:1403.0220.
  4. Duembgen, M. & Rogers, L.C.G. (2014). Investing and stopping. Journal of Applied Probability, 51, 898-909, arxiv:1403.0202
  5. Gonon, L. & Rogers, L.C.G. (2014). Evolution of firm size. International Journal of Theoretical and Applied Finance, 17.
  6. Duembgen, M. & Rogers, L.C.G. (2014) Estimate nothing. Quantitative Finance, 14, 2065-2072, arxiv:1401.5666
  7. Rogers, L.C.G. & Zaczkowski, P. (2013). Monte Carlo approximation to optimal investment. Preprint, arxiv:1305.3433
  8. Rogers, L.C.G. & Veraart, L.A.M (2013). Failure and rescue in an interbank network. Management Science 59, 882-898.
  9. Muraviev, R. & Rogers, L.C.G. (2013). Utilities bounded below. Annals of Finance 9, 271-289.
  10. Rogers, L.C.G. & Zaczkowski, P. (2012). Firms, banks and households. Handbook on Systemic Risk, editors J.-P. Fouque & J. Langsam, Cambridge University Press,  372-400.
  11. Rogers, L.C.G. (2012). Least action filtering. arxiv:1301.5157.
  12. Dybvig, P.H. & Rogers, L.C.G. (2013). High hopes and disappointment. Preprint.
  13. Brown, A.A. & Rogers, L.C.G. (2012). Diverse beliefs. Stochastics 84, 683-703.
  14. Nishide, K. & Rogers, L.C.G. (2011). Market selection: hungry misers and bloated bankrupts. Mathematics and Financial Economics 5, 47-66.
  15. Imkeller, N. & Rogers, L.C.G. (2014). Trading to stops. SIAM Journal on Financial Mathematics 5, 753-781.
  16. Rogers, L.C.G. & Zhang, L. (2011). An asset return model capturing stylized facts. Mathematics and Financial Economics 5, 101-119.
  17. Kluge, T. & Rogers, L.C.G. (2012). The potential approach in practice. arxiv:1204.5718v1.
  18. Brown, A.A. & Rogers, L.C.G. (2010). Heterogeneous beliefs with mortal agents. In Recent Advances in Financial Engineering 2009, editors M. Kijima, C. Hara, K. Tanaka, Y. Muromachi, World Scientific, Singapore.
  19. Nishide, K. & Rogers, L.C.G. (2011). Optimal time to exchange two baskets. Journal of Applied Probability 48, 21-30.
  20. Rogers, L.C.G. (2010). Dual valuation and hedging of Bermudan options. SIAM Journal on Financial Mathematics 1, 604-608.
  21. Rogers, L.C.G. (2009). Optimal and robust contracts for a risk-constrained principal. Mathematics and Financial Economics 2, 151-171.
  22. Rogers, L.C.G. & Veraart, L.A.M. (2008). A stochastic volatility alternative to SABR. Journal of Applied Probability 45, 1071-1085.
  23. Rogers, L.C.G. & Tehranchi, M.R. (2010). Can the implied volatility move by parallel shifts? Finance and Stochastics 14, 235-248.
  24. Rogers, L.C.G. & Shepp, L.A. (2006). The correlation of the maxima of correlated Brownian motions. Journal of Applied Probability 43, 880-883.
  25. Rogers, L.C.G. & Zhou, F. (2008). Estimating correlation from high, low, opening and closing prices. Annals of Applied Probability 18, 813-823.
  26. Rogers, L.C.G. (2006). One for all. In Progress in Industrial Mathematics at ECMI 2004, Springer, Berlin, 407-421.
  27. Di Graziano, G. & Rogers, L.C.G. (2009). A dynamic approach to the modelling of correlation credit derivatives using Markov chains. International Journal of Theoretical and Applied Finance 12, 1-18.
  28. Rogers, L.C.G. (2007). Pathwise stochastic optimal control. SIAM Journal on Control and Optimization 46, 1116-1132.
  29. Korn, R. & Rogers, L.C.G. (2005). Stocks paying discrete dividends: modelling and option pricing. Journal of Derivatives 13, 2, 44-48.
  30. Di Graziano, G. & Rogers, L.C.G. (2006). Barrier option pricing for assets with Markov-modulated dividends. Journal of Computational Finance 9, 75-87.
  31. Jobert, A. & Rogers, L.C.G. (2008). Valuations and dynamic convex risk measures. Mathematical Finance 18, 1-22.
  32. Di Graziano, G. & Rogers, L.C.G. (2009). Equity with Markov-modulated dividends. Quantitative Finance 9, 19-26.
  33. Jobert, A. & Rogers, L.C.G. (2006). Option pricing with Markov-modulated dynamics. SIAM Journal on Control and Optimization 44, 2063-2078.
  34. Cetin, U. & Rogers, L.C.G. (2007). Modelling liquidity effects in discrete time. Mathematical Finance 17, 15-29.
  35. Rogers, L.C.G. & Singh, S. (2010). The cost of illiquidity and its effects on hedging. Mathematical Finance 20, 597-615.
  36. Rogers, L.C.G. & Scheinkman, J. (2007). Optimal exercise of executive stock options. Finance and Stochastics 11, 375-372.
  37. Aquilina, J. & Rogers, L.C.G. (2004). The squared Ornstein-Uhlenbeck market. Mathematical Finance 14, 487-513.
  38. Hartley, P.M. & Rogers, L.C.G. (2005). Two-sector stochastic growth models. Australian Economic Papers 44, 322-351.
  39. Rogers, L.C.G. (2003). Duality in constrained optimal investment and consumption problems: a synthesis. In Paris-Princeton Lectures on Mathematical Finance 2002, Lecture Notes in Mathematics 1814, Springer, Berlin, 95-131
  40. Rogers, L.C.G. (2002). Monte Carlo valuation of American options. Mathematical Finance 17, 271-286.
  41. Klein, I. & Rogers, L.C.G. (2007). Duality in optimal investment and consumption problems with market frictions. Mathematical Finance 17, 225-247.
  42. Heritage, J.P. & Rogers, L.C.G. (2002). Large investors, takeovers and the rule of law. Monte Carlo Methods and Applications, 8, 357-370.
  43. Rogers, L.C.G. & Yousaf, F.A. (2002). Markov chains and the potential approach to modelling interest rates and exchange rates. In Mathematical Finance – Bachelier Congress 2000, editors H. Geman, D. Madan, S.R. Pliska,  & T. Vorst, Springer.
  44. Hilberink, B. & Rogers, L.C.G. (2002). Optimal capital structure and endogenous default. Finance and Stochastics 6, 237-264.
  45. Rogers, L.C.G. (2004). Why is the effect of transaction costs \(\small O(\delta^{2/3})\)? In Mathematics of Finance, AMS Contemporary Mathematics Series 351, editors G. Yin & Q. Zhang, 303-308.
  46. Rogers, L.C.G. (2000). Evaluating first-passage probabilities for spectrally one-sided Lévy processes. Journal of Applied Probability 37, 1173-1180.
  47. Lamberton, D. & Rogers, L.C.G. (2000). Optimal stopping and embedding. Journal of Applied Probability 37, 1143-1148.
  48. Brown, H.M., Hobson, D.J. & Rogers, L.C.G. (2001). Robust hedging of barrier options. Mathematical Finance 11, 285-314.
  49. Brown, H.M., Hobson, D.J. & Rogers, L.C.G. (2001). The maximum maximum of a martingale constrained by an intermediate law. Probability Theory and Related Fields 119, 558-578.
  50. Rogers, L.C.G. & Stapleton, E.J. (2002). Utility maximisation with time-lagged trading. In Computational Methods in Decision-Making, editors E.J. Kontoghiorghes, B. Rustem & S. Siokos. Kluwer, 249-269.
  51. Rogers, L.C.G. (1998). The origins of risk-neutral pricing and the Black-Scholes formula. In Handbook of Risk Management and Analysis, editor C.O. Alexander, Wiley, Chichester.
  52. Rogers, L.C.G. & Satchell, S.E. (2000). Does the behaviour of the asset tell us anything about the option price formula? A cautionary tale. Applied Financial Economics 10, 37-39.
  53. Rogers, L.C.G. (1998). Volatility forecasting in a tick data model. In Forecasting Volatility in the Financial Markets, editors J.L. Knight and S.E. Satchell, Butterworth-Heinemann, Oxford.
  54. Rogers, L.C.G. & Zane, O. (2002).  A simple model of liquidity effects. In Advances in Finance and Stochastics: Essays in Honour of Dieter Sondermann, editors K. Sandmann and P. Schoenbucher, Springer, Berlin, 161-176.
  55. Rogers, L.C.G. (2001). The relaxed investor and parameter uncertainty. Finance and Stochastics 5, 131-154.
  56. Rogers, L.C.G. & Zane, O. (1999). Saddle-point approximations to option prices. Annals of Applied Probability 9, 493-503.
  57. Rogers, L.C.G. & Zane, O. (1997). Valuing moving barrier options. Journal of Computational Finance 1, 5-11.
  58. Rogers, L.C.G. (1997). Stochastic calculus and Markov methods. In Mathematics of Derivative Securities, editors M.A.H. Dempster and S.R. Pliska, Cambridge University Press, Cambridge, 15-40.
  59. Rogers, L.C.G. & Stapleton, E.J. (1998). Fast accurate binomial pricing of options. Finance and Stochastics 2, 3-17.
  60. Rogers, L.C.G. (2000). Fastest coupling of random walks. Journal of the London Mathematical Society 60, 630-640.
  61. Rogers, L.C.G. (1997). One for all. RISK 10, 57-59.
  62. Joubert, A. & Rogers, L.C.G. (1997). Fast, accurate and inelegant pricing of American options. In Numerical Methods in Finance, editors L.C.G. Rogers and D. Talay, Cambridge University Press, Cambridge, 88-92.
  63. Rogers, L.C.G. & Zane, O. (1997). Fitting potential models to interest rates and foreign exchange rates. In Vasicek and beyond, editor L.P. Hughston, Risk Publications, London, 327-342.
  64. Rogers, L.C.G. (1997). The potential approach to the term structure of interest rates and foreign exchange rates. Mathematical Finance 7, 157-176.
  65. Rogers, L.C.G. (1998). Volatility estimation with price quanta. Mathematical Finance 8, 277-290.
  66. Rogers, L.C.G. (1997). Arbitrage from fractional Brownian motion. Mathematical Finance 7, 95-105.
  67. Rogers, L.C.G. (1996). Gaussian errors. RISK 9, 42-45.
  68. Dybvig, P.H. & Rogers, L.C.G. (1997). Recovery of preferences from observed portfolio choice in a single realisation. Review of Financial Studies 10, 151-174.
  69. Hobson, D.G. & Rogers, L.C.G. (1998). Complete models of stochastic volatility. Mathematical Finance 8, 27-48.
  70. Rogers, L.C.G. & Stummer, W. (2000). Consistent fitting of one-factor models to interest rate data. Insurance Mathematics and Economics 29, 45-63.
  71. Embrechts, P., Rogers, L.C.G. & Yor, M. (1995). A proof of Dassios’ representation of the \(\small\alpha\)-quantile of Brownian motion with drift. Annals of Applied Probability 5, 757-767.
  72. Back, K., Dybvig, P.H. & Rogers, L.C.G. (1999). Portfolio turnpikes. Review of Financial Studies 12, 165-195.
  73. Lindvall, T. & Rogers, L.C.G. (1996). On coupling of random walks and Lévy processes. Journal of Applied Probability 33, 122-126.
  74. Rogers, L.C.G (1995). Which model for term-structure of interest rates should one use? Mathematical Finance, IMA Volume 65,  Springer, New York, 129-135.
  75. Rogers, L.C.G. (1995). Time-reversal of noisy Wiener-Hopf factorisation. Proceedings of Symposia in Pure Mathematics 57, American Mathematical Society, Providence, R.I., 129-135.
  76. Rogers, L.C.G. & Shi, Z. (1995). The value of an Asian option. Journal of Applied Probability 32, 1077-1088.
  77. Rogers, L.C.G. & Shi, Z. (1994). Computing the invariant law of a fluid model. Journal of Applied Probability 31, 885-896.
  78. Rogers, L.C.G. (1994). Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains. Annals of Applied Probability 4, 390-413.
  79. Rogers, L.C.G. (1993). The harmonic functions of \( \small (A_t,B_t)\). Mathematical Proceedings of the Cambridge Philosophical Society 114, 369-377.
  80. Rogers, L.C.G, Satchell, S.E. & Yoon, Y. (2001). Are stock prices driven by volume of trade? Empirical analysis of the FT30, FT100 and certain British shares over 1988-1990. In Return Distributions in Finance, editors J. Knight and S.E. Satchell, Butterworth-Heinemann, Oxford, 118-142.
  81. Rogers, L.C.G. (1993). The joint law of the maximum and terminal value of a martingale. Probability Theory and Related Fields 95, 451-466.
  82. Rogers, L.C.G, Satchell, S.E. & Yoon, Y. (1994). The estimation of the volatility of stock prices: a comparison of some different methods that use high and low prices. Applied Financial Economics 4, 241-247.
  83. Rogers, L.C.G. & Shi, Z. (1993). Interacting Brownian particles and the Wigner law. Probability Theory and Related Fields 95, 555-570.
  84. Rogers, L.C.G. & Shi, Z. (1992). Quadratic functionals of Gaussian processes, optimal control, and the `Colditz’ example. Stochastics and Stochastics Reports 41, 201-218.
  85. Hobson, D.G. & Rogers, L.C.G. (1993). Recurrence of two-dimensional drifting reflecting Brownian motion in a quadrant. Mathematical Proceedings of the Cambridge Philosophical Society 113, 387-399.
  86. Chan, T., Dean, D., Jansons, K.M. & Rogers, L.C.G. (1994). On polymer conformations in elongational flows. Communications in Mathematical Physics 160, 239-257.
  87. Rogers, L.C.G. (1994). Equivalent martingale measures and no-arbitrage. Stochastics and Stochastics Reports 51, 41-49.
  88. Jansons, K.M. & Rogers, L.C.G. (1995). Probability and dispersion theory. IMA Journal of Applied Mathematics 55, 149-162.
  89. Jansons, K.M. & Rogers, L.C.G. (1991). Probability theory and polymer physics. Journal of Statistical Physics 65, 139-165.
  90. Durrett, R.T. & Rogers, L.C.G. (1992). Asymptotic behaviour of Brownian polymers. Probability Theory and Related Fields 92, 337-349.
  91. Jansons, K.M. & Rogers, L.C.G. (1992). Decomposing the branching Brownian path. Annals of Applied Probability 2, 973-986.
  92. Rogers, L.C.G. & Satchell, S.E. (1991). Estimating variance from high, low and closing prices. Annals of Applied Probability 1, 504-512.
  93. Rogers, L.C.G. & Walsh, J.B (1994). The exact 4/3 variation of a process arising from Brownian motion. Stochastics and Stochastics Reports 51, 267-291.
  94. Rogers, L.C.G. & Walsh, J.B (1991). \( \small A(t,B(t))\) is not a semimartingale. In Seminar on Stochastic Processes 1990, editors P.J. Fitzsimmons & R.J.Williams, Birkhaüser, Boston, 275-283.
  95. Hobson, D.G. & Rogers, L.C.G. (1991). Limit theorems for transient diffusions on the line. Probability Theory and Related Fields 89, 61-74.
  96. Bingham, N.H. & Rogers, L.C.G. (1991). Summability methods and almost-sure convergence. In Almost-everywhere Convergence II, editors A. Bellow & R.L. Jones, Academic Press, New York, 69-83.
  97. Rogers, L.C.G. (1990). Brownian motion in a wedge with variable skew reflection II. In Diffusion Processes and Related Problems in Analysis, Volume 1, editor M. Pinsky, Birkhaüser, Boston, 95-115.
  98. Barbour, A.D., Lindvall, T. & Rogers, L.C.G. (1991). Stochastic ordering of order statistics. Journal of Applied Probability 28, 278-286.
  99. Rogers, L.C.G. (1991). Brownian motion in a wedge with variable skew reflection. Transactions of the American Mathematical Society 326, 227-236.
  100. Bruss, F.T. & Rogers, L.C.G. (1991). Embedding optimal selection problems in a Poisson process. Stochastic Processes and their Applications 38, 267-278.
  101. Bruss, F.T. & Rogers, L.C.G. (1991). Characterisation of Pascal processes. Stochastic Processes and their Applications 37, 331-338.
  102. Rogers, L.C.G. & Walsh, J.B. (1991). The intrinsic local time sheet of Brownian motion. Probability Theory and Related Fields 88, 363-379.
  103. Rogers, L.C.G. & Walsh, J.B. (1991). Local time and stochastic area integrals. Annals of Probability 19, 457-483.
  104. Rhead, G.E. & Rogers, L.C.G. (1990). Statistical analysis of AES data from thin film growth modes. Thin Solid Films 188, 109-122.
  105. Rogers, L.C.G. (1989). The two-sided exit problem for spectrally positive Lévy processes. Journal of Applied Probability 22, 486-487.
  106. Rogers, L.C.G. (1989). A guided tour through excursions. Bulletin of the London Mathematical Society 21, 305-341.
  107. Rogers, L.C.G. (1989). Multiple points of Markov processes in a complete metric space. In Séminaire de Probabilités XXIII, 186-197.
  108. Rogers, L.C.G.(1989). Ignatov’s theorem: an abbreviation of the proof of Engelen, Tommassen and Vervaat. Advances in Applied Probability 21, 933-934.
  109. Rogers, L.C.G. (1988). Coupling and the tail \(\sigma\)-field of a one-dimensional diffusion. In Stochastic Calculus in Application, editor J.R. Norris, Longman, Harlow, 78-88.
  110. Pauwels, E.J & Rogers, L.C.G. (1988). Skew-product decompositions of Brownian motions. In Contemporary Mathematics 73, American Mathematical Society, Providence, R.I., 237-262.
  111. Rogers, L.C.G. (1987). Continuity of martingales in the Brownian excursion filtration. Probability Theory and Related Fields 76, 291-298.
  112. Rogers, L.C.G. & Williams, D. (1986). Construction and approximation of transition matrix functions. In Analytic and Geometric Stochastics, editor D.G. Kendall, 133-160.
  113. Norris, J.R., Rogers, L.C.G. & Williams, D. (1987). Self-avoiding random walk: a Brownian motion model with local time drift. Probability Theory and Related Fields 74, 271-287.
  114. Norris, J.R., Rogers, L.C.G. & Williams, D. (1986). Brownian motion of ellipsoids. Transactions of the American Mathematical Society 294, 757-765.
  115. Norris, J.R., Rogers, L.C.G. & Williams, D. (1985). An excluded volume problem for Brownian motion. Physics Letters A 112A, 16-18.
  116. Rogers, L.C.G (1987). Characterizing one-dimensional diffusions using stochastic calculus. Bulletin of the London Mathematical Society 19, 183-185.
  117. Lindvall, T. & Rogers, L.C.G. (1986). Coupling of multidimensional diffusion processes by reflection. Annals of Probability 14, 860-872.
  118. Price, G.C., Rogers, L.C.G. & Williams, D. (1984). \( \small BM({\mathbb R}^3)\) and its area integral \( \small \int \beta \wedge d\beta\). In Stochastic Analysis and its Applications, Springer Lecture Notes 1095, 155-165.
  119. Rogers, L.C.G.& Williams, D. (1984). A differential equation in Wiener-Hopf theory. In Stochastic Analysis and its Applications, Springer Lecture Notes 1095, 187-199.
  120. Rogers, L.C.G. (1984). Addendum to `Ito excursion theory via resolvents’. Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete 67,473-476.
  121. Rogers, L.C.G. (1985). Smooth transition densities for one-dimensional diffusions. Bulletin of the London Mathematical Society, 17, 157-161.
  122. Rogers, L.C.G. (1985). Recurrence of additive functionals of Markov chains. Sankhya A 47, 47-56.
  123. Rogers, L.C.G. (1984). Brownian local times and branching processes. In Séminaire de Probabilités XVIII, 42-55.
  124. Goldie, C.M. & Rogers, L.C.G. (1984). The \(\small k\)-record processes are i.i.d. Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete 67, 197-211.
  125. Rogers, L.C.G. (1984). A diffusion first passage problem. In Seminar on Stochastic Processes 1983, Birkhaüser, Boston, 151-160.
  126. Rogers, L.C.G. (1984). A new identity for Lévy processes. Annales de l’Institut Henri Poincaré 20, 21-34.
  127. Rogers, L.C.G. (1983). Wiener-Hopf factorisation of diffusions and Lévy processes. Proceedings of the London Mathematical Society 47, 177-191.
  128. Rogers, L.C.G. (1983). Itô excursion theory via resolvents. Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete 63, 237-255.
  129. London, R.R., McKean, H.P., Rogers, L.C.G. & Williams, D. (1982) A martingale approach to some Wiener-Hopf problems II. In Séminaire de Probabilités XVI, 68-90.
  130. London, R.R., McKean, H.P., Rogers, L.C.G. & Williams, D. (1982) A martingale approach to some Wiener-Hopf problems I. In Séminaire de Probabilités XVI, 41-67.
  131. Rogers, L.C.G. (1981). Stochastic integrals: basic theory. In Proceedings of the 1980 LMS symposium on Stochastic Integrals, 56-72.
  132. Rogers, L.C.G. (1981). Williams’ characterisation of the Brownian excursion law: proof and applications. In Séminaire de Probabilités XV, 227-249.
  133. Rogers, L.C.G. (1981). Characterizing all diffusions with the \(\small 2M-X\) property. Annals of Probability 9, 561-572.
  134. Pitman, J.W. & Rogers, L.C.G. (1981). Markov functions. Annals of Probability 9, 573-582.
  135. Rogers, L.C.G. (1981). A simple proof of Müntz’s theorem. Mathematical Proceedings of the Cambridge Philosophical Society 90, 1-3.
  136. Barlow, M.T., Rogers, L.C.G. & Williams, D. (1980). Wiener-Hopf factorisation for matrices. In Séminaire de Probabilités XIV, 324-331.
  137. Rogers, L.C.G. & Williams, D. (1980). Time substitution based on fluctuating additive functionals. In Séminaire de Probabilités XIV, 332-342.
  138. Rogers, L.C.G. (1978). The probability that two samples in the plane will have disjoint convex hulls. Journal of Applied Probability 15, 790-802.
  139. Rogers, G.L. & Rogers, L.C.G. (1977). The interrelations between Moiré patterns, contour fringes, optical surfaces and their sum and difference effects. Optica Acta 24, 15-22.