Roger Lee
Finance · with Carr · 2000–2009
A researcher in the Science corpus: 5 papers; trusts 17 researchers and is trusted by 25 researchers here, as inferred from the citation graph.
Subfields
- Finance — 31 citations into it; #968 of 10,518 by trust here, #2,779 by citations
- Economics and Econometrics — 13 citations into it; #2,102 of 23,481 by trust here, #9,444 by citations
- Demography — 8 citations into it
Whom Roger Lee trusts overall
Their strongest outbound trust, strongest first, inferred from their citations.
- Peter P. Carr
- Rama Cont
- Steven Kou
- David S. Bates
- Alan L. Lewis
- Jean-Pierre Fouque 3
- Dilip B Madan 5
- J. D. da Fonseca
- Ole E. Barndorff-Nielsen
- Roger Lee
Who trusts Roger Lee overall
- Peter Tankov
- Martin Keller‐Ressel
- Roger Lee
- Shalom Benaim
- Jim Gatheral
- Aleksandar Mijatovic
- A. Medvedev
- Peter P. Carr
- Peter K. Friz
- Matthew J. Lorig
Papers from Roger Lee's perspective
Ordered by how strongly the researchers Roger Lee trusts endorse each paper. Same corpus, a different order for every researcher.
- Post-'87 crash fears in the S&P 500 futures option market
- The Fine Structure of Asset Retums : An Empirical Investigation '
- Option Valuation under Stochastic Volatility
- THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
- A Tale of Two Indices
- Option Prices, Implied Price Processes, and Stochastic Volatility
- Dynamics of implied volatility surfaces
- Option Pricing, Interest Rates and Risk Management: Towards a Theory of Volatility Trading
- Hedging volatility risk
- VOLATILITY AND CORRELATION FORECASTING
Their papers
- THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES (2004) — 321 citations
- PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS (2009) — 130 citations
- Robust Replication of Volatility Derivatives (2008) — 137 citations
- Implied Volatility: Statics, Dynamics, and Probabilistic Interpretation (2005) — 107 citations
- Implied and local volatilities under stochastic volatility (2000) — 69 citations