L. Rogers

Finance · with * · 2001–2010

A researcher in the Science corpus: 7 papers; trusts 22 researchers and is trusted by 30 researchers here, as inferred from the citation graph.

Subfields

• Finance — 26 citations into it; #1,185 of 10,518 by trust here, #2,179 by citations
• Management Science and Operations Research — 17 citations into it; #11,173 of 11,946 by trust here, #8,906 by citations
• Economics and Econometrics — 15 citations into it; #2,784 of 23,481 by trust here, #7,434 by citations
• Demography — 6 citations into it; #1,634 of 4,236 by trust here, #1,883 by citations
• Statistics and Probability — 5 citations into it

Whom L. Rogers trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Freddy Delbaen
2. Domenico Cuoco
3. Umut Çetin
4. Carmen Broto
5. Marco Frittelli
6. N. Shephard
7. Ole E. Barndorff-Nielsen
8. Frank Riedel
9. Hong Liu
10. Hans Föllmer

Who trusts L. Rogers overall

1. Pierre Henry-Labordère
2. Christiane Lemieux
3. Alexander Boogert
4. Christian Bender
5. Cyriel de Jong
6. Akshay Balsubramani
7. Nikolaus Schweizer
8. David Hobson *
9. Steven Kou
10. Paul Glasserman

Papers from L. Rogers's perspective

Ordered by how strongly the researchers L. Rogers trusts endorse each paper. Same corpus, a different order for every researcher.

1. Convex measures of risk and trading constraints (Finance and Stochastics)
2. Dynamic Coherent Risk Measures
3. Coherent Risk Measures on General Probability Spaces
4. The Structure of m–Stable Sets and in Particular of the Set of Risk Neutral Measures
5. Coherent risk measures
6. Putting order in risk measures
7. A Martingale Characterization of Consumption Choices and Hedging Costs with Margin Requirements
8. Conditional and dynamic convex risk measures (Finance and Stochastics)
9. Stochastic Volatility: Selected Readings
10. RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES

Their papers

• VALUATIONS AND DYNAMIC CONVEX RISK MEASURES (2007) — 128 citations
• Monte Carlo valuation of American options (2002) — 521 citations
• THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING (2010) — 140 citations
• MODELING LIQUIDITY EFFECTS IN DISCRETE TIME (2007) — 113 citations
• Estimating correlation from high, low, opening and closing prices (2008) — 48 citations
• Duality in constrained optimal investment and consumption problems: a synthesis (2003) — 70 citations
• Robust Hedging of Barrier Options (2001) — 168 citations