Professor L C G Rogers

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

Selected publications

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



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