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Fast accurate binomial pricing

Rogers, Leonard C. G. - In: Finance and stochastics 2 (1998) 1, pp. 3-17

Persistent link: https://www.econbiz.de/10001230164

A simple model of liquidity effects

Rogers, Leonard C. G.; Zane, Omar - In: Advances in finance and stochastics : essays in honour …, (pp. 161-176). 2002

Persistent link: https://www.econbiz.de/10001672232

Markov chains and the potential approach to modelling interest rates and exchange rates

Rogers, Leonard C. G.; Yousaf, F. A. - In: Mathematical finance - Bachelier Congress, 2000 : …, (pp. 375-406). 2002

Persistent link: https://www.econbiz.de/10001679461

Robust hedging of barrier options

Brown, Haydyn; Hobson, David G.; Rogers, Leonard C. G. - In: Mathematical finance : an international journal of … 11 (2001) 3, pp. 285-314

Persistent link: https://www.econbiz.de/10001651137

Portfolio Turnpikes

Dybvig, Philip H. - 1998

Portfolio turnpike theorems show that if preferences at large wealth levels are similar to power utility, then the investment strategy converges to the power utility strategy as the horizon increases. We state and prove two simple and general portfolio turnpike theorems. Unlike existing...

Persistent link: https://www.econbiz.de/10012790442

Utilities bounded below

Muraviev, Roman; Rogers, Leonard C. G. - In: Annals of finance 9 (2013) 2, pp. 271-289

Persistent link: https://www.econbiz.de/10009741194

Failure and rescue in an interbank network

Rogers, Leonard C. G.; Veraart, Luitgard - In: Management science : journal of the Institute for … 59 (2013) 4, pp. 882-898

Persistent link: https://www.econbiz.de/10009741286

An asset return model capturing stylized facts

Rogers, Leonard C. G.; Zhang, Liang - In: Mathematics and financial economics 5 (2011) 2, pp. 101-119

Persistent link: https://www.econbiz.de/10009315539

Change of drift in one-dimensional diffusions

Desmettre, Sascha; Leobacher, Gunther; Rogers, Leonard C. G. - In: Finance and stochastics 25 (2021) 2, pp. 359-381

Persistent link: https://www.econbiz.de/10012499738

Preface to the special issue on systemic risk : models and mechanisms

Cont, Rama; Duffie, Darrell; Glasserman, Paul; Rogers, … - In: Operations research 64 (2016) 5, pp. 1053-1055

Persistent link: https://www.econbiz.de/10011594632

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