Professor Chris Rogers

Professor of Statistical Science, Statistical Laboratory
Acting Director, Statistical Laboratory
Director, Centre for Financial Research

Research Interests

Financial mathematics, probability theory, stochastic analysis, statistics, mathematical economics

Positions Held

Chris Rogers took up the Chair of Statistical Science in September 2002, after almost nine years at the University of Bath, where he was Professor of Probability in the Department of Mathematical Sciences. Before that, he had held teaching positions at Queen Mary & Westfield College (University of London), the University of Cambridge, the University College of Swansea, and the University of Warwick.

General

Chris works in the theory of probability and its applications, particularly in quantitative 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.

Chris has served the community as a past or present editor of Finance & Stochastics, Mathematical Finance, Annals of Applied Probability , Stochastic Processes and their Applications, and Stochastics. Additionally, he organised two major international programmes at the Isaac Newton Institute , Financial Mathematics in 1995, and Developments in Quantitative Finance in 2005 and was co-organiser of a third, Systemic Risk in 2014.

Within Cambridge, he is the instigator of Cambridge Finance and is the Director of the Centre for Financial Research in the Statistical Laboratory.

Together with Professor David Williams, Chris wrote the two volume work `Diffusions, Markov Processes, and Martingales', originally published by Wileys, Chichester, and now re-released by Cambridge University Press.

Recent Publications

A selected list of publications is available here

Website

Chris has a website here

Contact

Email: L.C.G.Rogers[AT]statslab.cam.ac.uk