Some of Professor Chris Rogers' papers

Papers in mathematical finance:

• Robust hedging of barrier options (with Haydyn Brown and David Hobson)

• One for all

• Gaussian errors

• Portfolio turnpikes (with Kerry Back and Phil Dybvig)

• Equivalent martingale measures and no arbitrage

• Designing and estimating models of high-frequency data (with Omar Zane)

• Saddle-point approximations to option prices (with Omar Zane)

• A simple model of liquidity effects (with Omar Zane)

• Valuing moving barrier options (with Omar Zane)

• Fast accurate binomial pricing (with Emily Stapleton)

• Utility maximisation with time-lagged trading (with Emily Stapleton)

• The origins of risk-neutral pricing and the Black-Scholes formula

• The value of an Asian option (with Zhan Shi)

• The potential approach to the term structure of interest rates and foreign exchange rates

• Complete models with stochastic volatility (with David Hobson)

• Does the behaviour of the asset tell us anything about the option price formula? A cautionary tale (with Steve Satchell)

• Fitting potential models (with Omar Zane)

• Arbitrage from fractional Brownian motion

• Volatility estimation with price quanta

• Which model for term-structure of interest rates should one use?

• Recovery of preferences from observed portfolio choice in a single realisation (with Phil Dybvig)

• Modelling credit risk

• Markov chains and the potential approach to modelling interest rates and exchange rates (with Fas Yousaf)

• Monte Carlo valuation of American options

• Why is the effect of proportional transaction costs O(delta^{2/3})?

• The relaxed investor and parameter uncertainty

• Optimal capital structure and endogenous default (with Bianca Hilberink)

• Two-sector stochastic growth models (with Peter Hartley)

• The squared Ornstein-Uhlenbeck market (with John Aquilina)

• Equity with Markov-modulated dividends (with Peppe di Graziano)

• Stocks paying discrete dividends:modelling and option pricing (with Ralf Korn)

• Option pricing with Markov-modulated dynamics (with Arnaud Jobert)

• One for all: the potential approach to pricing and hedging. (Based on a talk at the European Congress on Mathematics in Industry, TU Eindhoven, June 2004.)

• Valuations and dynamic convex risk measures. (with Arnaud Jobert).

• A Bayesian solution to the equity premium puzzle (with Arnaud Jobert and Alessandro Platania)

• Putting the Hobson-Rogers model to the test (with Alessandro Platania)

• Barrier option pricing for assets with Markov-modulated dividends (with Peppe di Graziano)

• A dynamic approach to the modelling of correlation credit derivatives using Markov chains (with Peppe di Graziano)

• Pathwise stochastic optimal control.

• The costs of illiquidity and its effects on hedging. (with Surbjeet Singh)

• Modelling liquidity effects in discrete time. (with Umut Cetin)

• Hybrid derivatives pricing under the potential approach (with Peppe Di Graziano)

• Estimating correlation from high, low, opening and closing prices (with Fanyin Zhou)

• The Bayesian agent and the co-movement of security prices (with Peppe Di Graziano)

• Optimal exercise of executive stock options (with Jose Scheinkman). The definitive version of this article is published in Finance and Stochastics . The original publication is available at www.springerlink.com

• The implied volatility surface does not move by parallel shifts. (with Mike Tehranchi)

• The potential approach in practice. (with Tino Kluge)

• Optimal and robust contracts for a risk-constrained principal

• Diverse beliefs (with Angus Brown: arxiv:1001.1681v1)

• Heterogeneous beliefs with finite-lived agents (with Angus Brown)

• A stochastic volatility alternative to SABR (with Luitgard Veraart)

• Lucas economy with trading constraints (with Tianhui M Li)

• Dual valuation and hedging of Bermudan options

• Trading to stops (with Nora Imkeller)

• Understanding asset returns (with Liang Zhang)

• Market selection: hungry misers and happy bankrupts (with Katsumasa Nishide)

• Optimal time to exchange two baskets (with Katsumasa Nishide)

• Failure and rescue in an interbank market (with Luitgard Veraart)

• Firms, banks and households (with Pawel Zaczkowski)

• Utilities bounded below (with Roman Muraviev)

Papers in probability:

• Evaluating first-passage probabilities for spectrally one-sided Levy processes

• The maximum maximum of a martingale constrained by an intermediate law (with Haydyn Brown and David Hobson)

• Fastest coupling of random walks

• Probability theory and polymer physics (with Kalvis Jansons)

• Decomposing the branching Brownian path (with Kalvis Jansons)

• The joint law of the maximum and the terminal value of a martingale

• A(t,B(t)) is not a semimartingale (with John Walsh)

• The correlation of the maxima of correlated Brownian motions (with Larry Shepp)

• Skew-product decompositions of Brownian motions (with Eric Pauwels)

• Filtering in continuous time by least action

• Least-action filtering