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Mathematics

D-Index
49
Citations
12013
World Ranking
1129
National Ranking
87

Overview

Leonard Rogers is affiliated with the University of Cambridge in the United Kingdom. Their research primarily spans the field of Economics, Econometrics and Finance, contributing extensively to several subfields including Finance, Economics and Econometrics, Management Science and Operations Research, Computer Networks and Communications, and Mathematical Physics.

The scientist's work covers a range of topics reflecting their expertise in stochastic processes and financial applications, complex systems and time series analysis, optimization and search problems, auction theory and applications, stochastic processes and statistical mechanics, financial risk and volatility modeling, and economic theories and models.

Leonard Rogers has published in several academic venues. Frequent publication platforms include arXiv (Cornell University), Stochastic Processes and their Applications, University Library Linz repository (Johannes Kepler Universitat Linz), Mathematics of Operations Research, and the Journal of Applied Probability. This diversity of venues reflects the scope of their interdisciplinary research contributions.

Recent papers authored or coauthored by Leonard Rogers demonstrate the thematic breadth and collaborative nature of their research:

  • Finance and Stochastics volume / Change of drift in one-dimensional diffusions, 2021, University Library Linz repository (Johannes Kepler Universitat Linz)
  • The 1/e-strategy is sub-optimal for the problem of best choice under no information, 2021, Stochastic Processes and their Applications
  • The Value of Insight, 2020, Mathematics of Operations Research
  • The Bruss-Robertson-Steele inequality, 2023, Journal of Applied Probability
  • Change of drift in one-dimensional diffusions, 2021, Finance and Stochastics

Collaboration has been significant in Leonard Rogers's career. Frequent coauthors include F. Thomas Bruss, Sascha Desmettre, Gunther Leobacher, Philip Ernst, and Michael B. Hawes. These collaborations often contribute to the interdisciplinary nature of the research, engaging with topics that overlap probability theory, operations research, and financial mathematics.

Best Publications

  • Diffusions, Markov processes, and martingales

    L. C. G. Rogers;David Williams

  • Estimating Variance From High, Low and Closing Prices

    L. C. G. Rogers;S. E. Satchell

  • Arbitrage with Fractional Brownian Motion

    L. C. G. Rogers

  • THE VALUE OF AN ASIAN OPTION

    L. C. G. Rogers;Z. Shi

  • Monte Carlo valuation of American options

    L. C. G. Rogers

  • Failure and Rescue in an Interbank Network

    L. C. G. Rogers;L. A. M. Veraart

  • Complete Models with Stochastic Volatility

    David G. Hobson;L. C. G. Rogers

  • Optimal capital structure and endogenous default

    Bianca Hilberink;L.C.G. Rogers

  • Fluid Models in Queueing Theory and Wiener-Hopf Factorization of Markov Chains

    L. C. G. Rogers

  • The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates

    L. C. G. Rogers

  • The relaxed investor and parameter uncertainty

    L.C.G. Rogers

  • Which model for term-structure of interest rates should one use?

    L. C. G. Rogers

  • Coupling of Multidimensional Diffusions by Reflection

    Torgny Lindvall;L. C. G. Rogers

  • Interacting Brownian particles and the Wigner law

    L. C. G. Rogers;Z. Shi

  • Robust Hedging of Barrier Options

    Haydyn Brown;David Hobson;L. C. G. Rogers

  • Estimating the volatility of stock prices: a comparison of methods that use high and low prices

    L. C. G. Rogers;S. E. Satchell;Y. Yoon

  • Option Pricing With Markov-Modulated Dynamics

    A. Jobert;L. C. G. Rogers

  • Numerical methods in finance

    L. C. G. Rogers;D. Talay

  • Equivalent martingale measures and no-arbitrage

    L. C. G. Rogers

  • Valuations and dynamic convex risk measures

    A. Jobert;Leonard Rogers

  • GENERAL THEORY OF MARKOV PROCESSES

    L. C. G. Rogers

Frequent Co-Authors

Jose A. Scheinkman
Jose A. Scheinkman Columbia University
N. H. Bingham
N. H. Bingham Imperial College London
Paul Embrechts
Paul Embrechts ETH Zurich
Rick Durrett
Rick Durrett Duke University

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