Roger Lord

Cardano Risk Management

Rotterdam 3011 AA

Netherlands

SCHOLARLY PAPERS

13

DOWNLOADS
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Top 4,372

in Total Papers Downloads

11,498

SSRN CITATIONS
Rank 7,735

SSRN RANKINGS

Top 7,735

in Total Papers Citations

40

CROSSREF CITATIONS

131

Scholarly Papers (13)

1.

A Comparison of Biased Simulation Schemes for Stochastic Volatility Models

Tinbergen Institute Discussion Paper No. 06-046/4
Number of pages: 30 Posted: 19 May 2006 Last Revised: 20 Mar 2008
Cardano Risk Management, Credit Suisse and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 2,300 (7,565)
Citation 61

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Stochastic volatility, Heston, square root process, CEV process, Euler-Maruyama, discretisation, strong convergence, weak convergence, boundary behaviour

2.

Pricing Long-Maturity Equity and FX Derivatives with Stochastic Interest Rates and Stochastic Volatility

Insurance: Mathematics and Economics, Vol. 45, No. 3, 2009
Number of pages: 28 Posted: 29 Apr 2008 Last Revised: 09 May 2011
Delta Lloyd, Cardano Risk Management, Maastricht University and Longitude Solutions
Downloads 1,943 (9,977)
Citation 1

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Stochastic volatility, Stochastic interest rates, Schöbel-Zhu, Hull-White, Foreign Exchange, Forward starting options

3.

Optimal Fourier Inversion in Semi-Analytical Option Pricing

Tinbergen Institute Discussion Paper No. 2006-066/2
Number of pages: 21 Posted: 03 Aug 2006
Roger Lord and Christian Kahl
Cardano Risk Management and
Downloads 1,434 (16,186)
Citation 19

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Option pricing, Fourier inversion, Carr-Madan, Heston, stochastic volatility, characteristic function, damping, saddlepoint approximations

4.

Partially Exact and Bounded Approximations for Arithmetic Asian Options

Number of pages: 48 Posted: 25 Mar 2005
Roger Lord
Cardano Risk Management
Downloads 1,027 (26,603)
Citation 1

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Asian option, average price option, basket option, lower bound, upper bound, analytical approximation, moment matching

5.

A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options Under Levy Processes

Number of pages: 23 Posted: 28 Feb 2007
Cardano Risk Management, Delft University of Technology, Rabobank International, London Branch and Center for Mathematics and Computer Science (CWI)
Downloads 997 (27,762)
Citation 12

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Option pricing , Bermudan options, American options, convolution, Lévy processes, Fast Fourier Transform

6.
Downloads 941 ( 30,117)
Citation 37

Complex Logarithms in Heston-Like Models

Number of pages: 30 Posted: 17 Mar 2008
Roger Lord and Christian Kahl
Cardano Risk Management and
Downloads 939 (29,787)
Citation 5

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Complex logarithm, affine jump-diffusion, stochastic volatility, Heston, characteristic function, option pricing, Fourier inversion, Variance Gamma, Schöbel-Zhu,exact simulation

Complex Logarithms in Heston-Like Models

Mathematical Finance, Vol. 20, Issue 4, pp. 671-694, October 2010
Number of pages: 24 Posted: 27 Sep 2010
Roger Lord and Christian Kahl
Cardano Risk Management and
Downloads 2 (799,307)
Citation 5
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7.

Why the Rotation Count Algorithm Works

Tinbergen Institute Discussion Paper No. 2006-065/2
Number of pages: 33 Posted: 03 Aug 2006
Roger Lord and Christian Kahl
Cardano Risk Management and
Downloads 919 (31,191)
Citation 13

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Complex logarithm, affine jump-diffusion, stochastic volatility, Heston, characteristic function, moment stability, option pricing

8.

Level-Slope-Curvature - Fact or Artefact?

Applied Mathematical Finance, Vol. 14, No. 2, 2007, Tinbergen Institute Discussion Paper No. TI 05-083/2
Number of pages: 32 Posted: 20 Sep 2005 Last Revised: 09 May 2011
Roger Lord and Antoon Pelsser
Cardano Risk Management and Maastricht University
Downloads 716 (43,908)
Citation 1

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Principal components analysis, correlation matrix, total positivity, oscillation matrix, Schoenmakers-Coffey matrix

Monte Carlo Pricing in the Schöbel-Zhu Model and its Extensions

Number of pages: 25 Posted: 11 Oct 2009 Last Revised: 04 Oct 2011
Delta Lloyd, Cardano Risk Management and Maastricht University
Downloads 406 (88,429)

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Stochastic volatility, Stochastic interest rates, Schöbel-Zhu, Heston, Hull-White, discretisation

Monte Carlo Pricing in the Schöbel-Zhu Model and its Extensions

Netspar Discussion Paper No. 08/2009-046
Number of pages: 23 Posted: 23 Mar 2010
Delta Lloyd, Cardano Risk Management and Maastricht University
Downloads 128 (271,459)
Citation 1

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Stochastic Volatility, Stochastic Interest Rates, Schöbel-Zhu, Heston, Hull-White, Discretisation

10.

Control Variates for Callable LIBOR Exotics - A Preliminary Study

Proceedings of the 5th Actuarial and Financial Mathematics Day, M. Vanmaele et al, eds, Brussels
Number of pages: 11 Posted: 28 Oct 2008
Jacob Buitelaar and Roger Lord
Goldman Sachs International and Cardano Risk Management
Downloads 248 (151,914)

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LIBOR market model, variance reduction, control variates, Monte Carlo, Bermudans, callable derivatives, Longstaff-Schwartz

An Overview of Derivative Pricing in Gaussian Affine Asset Pricing Models: An Application to the KNW Model

Netspar Discussion Paper No. 04/2016-018
Number of pages: 25 Posted: 09 Apr 2016
Kees E. Bouwman and Roger Lord
Cardano Risk Management and Cardano Risk Management
Downloads 166 (219,629)

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An Overview of Derivative Pricing in Gaussian Affine Asset Pricing Models: An Application to the KNW Model

Number of pages: 24 Posted: 06 Apr 2016
Kees E. Bouwman and Roger Lord
Cardano Risk Management and Cardano Risk Management
Downloads 36 (543,202)

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12.

Comment on: A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model

Number of pages: 4 Posted: 20 Oct 2008 Last Revised: 01 Oct 2009
Roger Lord
Cardano Risk Management
Downloads 189 (196,057)

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Complex logarithm, stochastic volatility, Heston, characteristic function

13.

Vereist Eigen Vermogen berekening: een simpele kwadratische formule (Regulatory Capital Requirement Calculation: A Simple Quadratic Formula)

Number of pages: 7 Posted: 24 Oct 2019
Cardano Risk Management, affiliation not provided to SSRN and Cardano Risk Management
Downloads 48 (476,352)

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FTK, Requlatory Capital Requirement