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Roger Lord

Personal Details

First Name:Roger
Middle Name:
Last Name:Lord
Suffix:
RePEc Short-ID:plo97
[This author has chosen not to make the email address public]
http://www.rogerlord.com

Affiliation

Cardano

http://www.cardano.com
Rotterdam

Research output

as
Jump to: Working papers Articles

Working papers

  1. Lord, Roger & Fang, Fang & Bervoets, Frank & Oosterlee, Kees, 2007. "A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes," MPRA Paper 1952, University Library of Munich, Germany.

Articles

  1. Roger Lord & Remmert Koekkoek & Dick Van Dijk, 2010. "A comparison of biased simulation schemes for stochastic volatility models," Quantitative Finance, Taylor & Francis Journals, vol. 10(2), pages 177-194.
  2. Roger Lord, 2010. "Comment on: A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(4), pages 373-376.
  3. van Haastrecht, Alexander & Lord, Roger & Pelsser, Antoon & Schrager, David, 2009. "Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 436-448, December.
  4. Roger Lord & Antoon Pelsser, 2007. "Level-Slope-Curvature - Fact or Artefact?," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(2), pages 105-130.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CMP: Computational Economics (1) 2007-03-03
  2. NEP-KNM: Knowledge Management and Knowledge Economy (1) 2007-03-03

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