4
H index
3
i10 index
164
Citations
| 4 H index 3 i10 index 164 Citations RESEARCH PRODUCTION: 4 Articles 1 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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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: | Cites to: |
Journals with more than one article published | # docs |
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Applied Mathematical Finance | 2 |
Year | Title of citing document |
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2021 | Impact 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. Full description at Econpapers || Download paper |
2021 | Solving high-dimensional optimal stopping problems using deep learning. (2019). Welti, Timo ; Jentzen, Arnulf ; Cheridito, Patrick ; Becker, Sebastian. In: Papers. RePEc:arx:papers:1908.01602. Full description at Econpapers || Download paper |
2021 | Total 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. Full description at Econpapers || Download paper |
2022 | Path-dependent volatility models. (2020). Lacombe, Chloe ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:2001.05248. Full description at Econpapers || Download paper |
2022 | Hybrid, 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. Full description at Econpapers || Download paper |
2022 | Numerical 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. Full description at Econpapers || Download paper |
2021 | Series expansions and direct inversion for the Heston model. (2020). Wiese, Anke ; Shen, Jiaqi ; Simon, . In: Papers. RePEc:arx:papers:2008.08576. Full description at Econpapers || Download paper |
2021 | Explicit solution simulation method for the 3/2 model. (2020). MacKay, Anne ; Kouritzin, Michael A ; Ren, Iro. In: Papers. RePEc:arx:papers:2009.09058. Full description at Econpapers || Download paper |
2022 | Numerical 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. Full description at Econpapers || Download paper |
2021 | An adaptive splitting method for the Cox-Ingersoll-Ross process. (2021). Lord, Gabriel J ; Kelly, C'Onall. In: Papers. RePEc:arx:papers:2112.09465. Full description at Econpapers || Download paper |
2021 | Pricing Bermudan options using regression trees/random forests. (2021). Lelong, J'Erome ; Henry-Labordere, Pierre ; el Filali, Zineb. In: Papers. RePEc:arx:papers:2201.02587. Full description at Econpapers || Download paper |
2022 | Pricing commodity index options. (2022). , Carlos ; Carlos , ; Pallavicini, Andrea ; Nastasi, Emanuele ; Manzano, Alberto. In: Papers. RePEc:arx:papers:2208.01289. Full description at Econpapers || Download paper |
2021 | Indifference 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. Full description at Econpapers || Download paper |
2021 | Efficient 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. Full description at Econpapers || Download paper |
2022 | Approximate 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. Full description at Econpapers || Download paper |
2022 | Moving 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. Full description at Econpapers || Download paper |
2022 | Approximate 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. Full description at Econpapers || Download paper |
2021 | Unspanned 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. Full description at Econpapers || Download paper |
2022 | Forecasting 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. Full description at Econpapers || Download paper |
2022 | The 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. Full description at Econpapers || Download paper |
2021 | Pricing Bermudan options using regression trees/random forests. (2021). Lelong, Jerome ; Henry-Labordere, Pierre ; el Filali, Zineb. In: Working Papers. RePEc:hal:wpaper:hal-03436046. Full description at Econpapers || Download paper |
2021 | Approximate 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. Full description at Econpapers || Download paper |
2021 | Pricing American Options under High-Dimensional Models with Recursive Adaptive Sparse Expectations*. (2021). Treccani, Adrien ; Scheidegger, Simon. In: The Journal of Financial Econometrics. RePEc:oup:jfinec:v:19:y:2021:i:2:p:258-290.. Full description at Econpapers || Download paper |
2022 | Market 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. Full description at Econpapers || Download paper |
2022 | Jacobi stochastic volatility factor for the LIBOR market model. (2022). Arrouy, Pierre-Edouard ; Boumezoued, Alexandre ; Lapeyre, Bernard ; Mehalla, Sophian. In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:4:d:10.1007_s00780-022-00488-5. Full description at Econpapers || Download paper |
2022 | GARCH 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. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2009 | Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 13 |
2007 | A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes In: MPRA Paper. [Full Text][Citation analysis] | paper | 48 |
2007 | Level-Slope-Curvature - Fact or Artefact? In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 8 |
2010 | Comment on: A Note on the Discontinuity Problem in Hestons Stochastic Volatility Model In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 1 |
2010 | A comparison of biased simulation schemes for stochastic volatility models In: Quantitative Finance. [Full Text][Citation analysis] | article | 94 |
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