Roger Lord : Citation Profile

Are you Roger Lord?

4

H index

3

i10 index

162

Citations

RESEARCH PRODUCTION:

4

Articles

1

Papers

RESEARCH ACTIVITY:

   3 years (2007 - 2010). See details.
   Cites by year: 54
   Journals where Roger Lord has often published
   Relations with other researchers
   Recent citing documents: 24.    Total self citations: 0 (0 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/plo97
   Updated: 2022-11-19    RAS profile: 2014-08-11    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Roger Lord.

Is cited by:

Platen, Eckhard (6)

Oosterlee, Cornelis (5)

Fang, Fang (3)

Schlogl, Erik (3)

McWalter, Thomas (3)

Nikitopoulos-Sklibosios, Christina (3)

Leung, Tim (2)

Itkin, Andrey (2)

Goutte, Stéphane (2)

Ballotta, Laura (2)

Escobar Anel, Marcos (2)

Cites to:

Cao, Charles (7)

Chen, Zhiwu (7)

Carr, Peter (2)

Pelsser, Antoon (2)

Duffie, Darrell (2)

pan, jun (2)

Singleton, Kenneth (2)

Kahl, Christian (2)

White, Alan (1)

Geske, Robert (1)

Ballotta, Laura (1)

Main data

Where Roger Lord has published?

Journals with more than one article published# docs
Applied Mathematical Finance2

Recent works citing Roger Lord (2022 and 2021)

YearTitle of citing document
2021Impact of rough stochastic volatility models on long-term life insurance pricing. (2021). Hainaut, Donatien ; Barbarin, Jerome ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021017.

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2021Solving high-dimensional optimal stopping problems using deep learning. (2019). Welti, Timo ; Jentzen, Arnulf ; Cheridito, Patrick ; Becker, Sebastian. In: Papers. RePEc:arx:papers:1908.01602.

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2021Total positivity and the classification of term structure shapes in the two-factor Vasicek model. (2019). Keller-Ressel, Martin. In: Papers. RePEc:arx:papers:1908.04667.

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2022Path-dependent volatility models. (2020). Lacombe, Chloe ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:2001.05248.

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2022Hybrid, adaptive, and positivity preserving numerical methods for the Cox-Ingersoll-Ross model. (2020). Maulana, Heru ; Lord, Gabriel ; Kelly, C'Onall. In: Papers. RePEc:arx:papers:2002.10206.

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2022Numerical smoothing and hierarchical approximations for efficient option pricing and density estimation. (2020). Tempone, Raul ; ben Hammouda, Chiheb ; Bayer, Christian. In: Papers. RePEc:arx:papers:2003.05708.

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2021Series expansions and direct inversion for the Heston model. (2020). Wiese, Anke ; Shen, Jiaqi ; Simon, . In: Papers. RePEc:arx:papers:2008.08576.

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2021Explicit solution simulation method for the 3/2 model. (2020). MacKay, Anne ; Kouritzin, Michael A ; Ren, Iro. In: Papers. RePEc:arx:papers:2009.09058.

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2022Numerical Smoothing with Hierarchical Adaptive Sparse Grids and Quasi-Monte Carlo Methods for Efficient Option Pricing. (2021). Tempone, Ra'Ul ; ben Hammouda, Chiheb ; Bayer, Christian. In: Papers. RePEc:arx:papers:2111.01874.

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2021An adaptive splitting method for the Cox-Ingersoll-Ross process. (2021). Lord, Gabriel J ; Kelly, C'Onall. In: Papers. RePEc:arx:papers:2112.09465.

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2021Pricing Bermudan options using regression trees/random forests. (2021). Lelong, J'Erome ; Henry-Labordere, Pierre ; el Filali, Zineb. In: Papers. RePEc:arx:papers:2201.02587.

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2022Pricing commodity index options. (2022). , Carlos ; Carlos , ; Pallavicini, Andrea ; Nastasi, Emanuele ; Manzano, Alberto. In: Papers. RePEc:arx:papers:2208.01289.

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2021Indifference pricing of insurance-linked securities in a multi-period model. (2021). Yuan, Zhongyi ; Tang, Qihe ; Liu, Haibo. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:2:p:793-805.

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2021Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations. (2021). Nguyen, Duy ; Kirkby, Lars J ; Cui, Zhenyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:290:y:2021:i:3:p:1046-1062.

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2022Approximate value adjustments for European claims. (2022). Scarlatti, Sergio ; Ramponi, Alessandro ; Antonelli, Fabio. In: European Journal of Operational Research. RePEc:eee:ejores:v:300:y:2022:i:3:p:1149-1161.

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2022Moving average options: Machine learning and Gauss-Hermite quadrature for a double non-Markovian problem. (2022). Goudenege, Ludovic ; Molent, Andrea ; Zanette, Antonino. In: European Journal of Operational Research. RePEc:eee:ejores:v:303:y:2022:i:2:p:958-974.

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2022Approximate pricing formula to capture leverage effect and stochastic volatility of a financial asset. (2022). Goutte, Stéphane ; Vives, Josep ; Makumbe, Zororo S ; El-Khatib, Youssef. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001537.

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2021Unspanned stochastic volatility from an empirical and practical perspective. (2021). Backwell, Alex. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:122:y:2021:i:c:s0378426620302557.

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2022Forecasting volatility of Bitcoin. (2022). Molnár, Peter ; Polasik, Micha ; Molnar, Peter ; Lind, Andrea Falk ; Bergsli, Lykke Overland. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001616.

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2022The truncated Euler–Maruyama method for CIR model driven by fractional Brownian motion. (2022). Yang, Hongfu ; Wang, Yanxia ; Gao, Xiangyu. In: Statistics & Probability Letters. RePEc:eee:stapro:v:189:y:2022:i:c:s0167715222001262.

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2021Pricing Bermudan options using regression trees/random forests. (2021). Lelong, Jerome ; Henry-Labordere, Pierre ; el Filali, Zineb. In: Working Papers. RePEc:hal:wpaper:hal-03436046.

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2021Approximate pricing formula to capture leverage effect and stochastic volatility of a financial asset. (2021). El-Khatib, Youssef ; Vives, Josep ; Makumbe, Zororo ; Goutte, Stephane. In: Working Papers. RePEc:hal:wpaper:halshs-03211698.

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2022Market and model risks: a feasible joint estimate methodology. (2022). Segovia, Ana I ; Ibaez, Eva M ; Gonzalez-Sanchez, Mariano. In: Risk Management. RePEc:pal:risman:v:24:y:2022:i:3:d:10.1057_s41283-022-00090-1.

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2022GARCH pricing and hedging of VIX options. (2022). Guo, Shuxin ; Jiao, Yuhan ; Liu, Qiang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:6:p:1039-1066.

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Works by Roger Lord:

YearTitleTypeCited
2009Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article13
2007A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes In: MPRA Paper.
[Full Text][Citation analysis]		paper48
2007Level-Slope-Curvature - Fact or Artefact? In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article8
2010Comment on: A Note on the Discontinuity Problem in Hestons Stochastic Volatility Model In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article1
2010A comparison of biased simulation schemes for stochastic volatility models In: Quantitative Finance.
[Full Text][Citation analysis]		article92

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