30 citations · 38 across the 5 of their papers we have counts for
5 papers
Bermudan options by simulation
L. C. G. Rogers
The aim of this study is to devise numerical methods for dealing with very high-dimensional Bermudan-style derivatives. For such problems, we quickly see that we can at best hope f…
Estimate nothing
M. Duembgen, L. C. G. Rogers
In the econometrics of financial time series, it is customary to take some parametric model for the data, and then estimate the parameters from historical data. This approach suffe…
Monte Carlo approximation to optimal investment
L C G Rogers, Pawel Zaczkowski
This paper sets up a methodology for approximately solving optimal investment problems using duality methods combined with Monte Carlo simulations. In particular, we show how to ta…
Estimating correlation from high, low, opening and closing prices
L. C. G. Rogers, Fanyin Zhou
In earlier studies, the estimation of the volatility of a stock using information on the daily opening, closing, high and low prices has been developed; the additional information…
Valuations and dynamic convex risk measures
A. Jobert, L. C. G. Rogers
This paper approaches the definition and properties of dynamic convex risk measures through the notion of a family of concave valuation operators satisfying certain simple and cred…