This is the research home page of Professor Chris Rogers. His PhD, awarded by the University of Cambridge in 1980, was done under the supervision of David Williams in Swansea and was in the study of stochastic processes. Since then, he has continued to work in theory and applications of probability, particularly in the area of finance. His work in finance includes the potential approach to the term structure of interest rates, complete models of stochastic volatility, portfolio turnpike theorems, improved binomial pricing, robust hedging, liquidity modelling, axiomatics of valuation operators, the equity premium puzzle, duality in optimal investment/consumption, and Monte Carlo valuation of American options.

Positions held

• Lecturer at the University of Warwick, September 1980 – December 1983
• Lecturer at University College Swansea, January 1984 – August 1985
• Lecturer at the University of Cambridge, September 1985 – December 1990
• Professor at Queen Mary & Westfield College, University of London, January 1991 – December 1993
• Professor at the University of Bath, January 1994 – August 2002
• Professor at the University of Cambridge, August 2002 – September 2015

Selected publications

The full list is here, but the following gives a flavour of some areas of interest.

• Rogers, L.C.G. (1984). A new identity for Lévy processes. Annales de l’Institut Henri Poincaré 20, 21-34.
• Rogers, L.C.G. (1987). Continuity of martingales in the Brownian excursion filtration. Probability Theory and Related Fields 76, 291-298.
• Rogers, L.C.G. (1989). Multiple points of Markov processes in a complete metric space. In Séminaire de Probabilités XXIII, 186-197.
• Rogers, L.C.G. (1994). Equivalent martingale measures and no-arbitrage. Stochastics and Stochastics Reports 51, 41-49.
• 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.
• Rogers, L.C.G. (1997). The potential approach to the term structure of interest rates and foreign exchange rates. Mathematical Finance 7, 157-176.
• Rogers, L.C.G. (2000). Fastest coupling of random walks. Journal of the London Mathematical Society 60, 630-640.
• Brown, H.M., Hobson, D.G. & Rogers, L.C.G. (2001). Robust hedging of barrier options. Mathematical Finance 11, 285-314.
• Rogers, L.C.G. (2002). Monte Carlo valuation of American options. Mathematical Finance 17, 271-286.

Books

• Diffusions, Markov Processes and Martingales, Volume 1 (with David Williams)
• Diffusions, Markov Processes and Martingales, Volume 2 (with David Williams)
• Optimal Investment

Editorships

Finance & Stochastics; Mathematical Finance; Annals of Applied Probability; Stochastic Processes and their Applications; Stochastics; Journal of Computational Finance