30 citations · 38 across the 5 of their papers we have counts for
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q-fin.CP2015★ 3 cited
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…
q-fin.CP2014
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…
q-fin.CP2013★ 1 cited
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…