Roger Lee

Finance · 2004

A researcher in the Science corpus: 1 paper; trusts 7 researchers and is trusted by 26 researchers here, as inferred from the citation graph.

Subfields

Whom Roger Lee trusts overall

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

  1. Alan L. Lewis
  2. Roger Lee
  3. Gurdip Bakshi
  4. Peter P. Carr
  5. Ole E. Barndorff-Nielsen
  6. David S. Bates
  7. Jun Pan
  8. Dilip B Madan 5
  9. Liuren Wu

Who trusts Roger Lee overall

  1. R. Lord
  2. Conall O’Sullivan
  3. Alessandro Ramponi
  4. Christian Kahl
  5. Peter Tankov
  6. Martin Forde
  7. Ole E. Barndorff-Nielsen
  8. Rama Cont
  9. D. Schrager
  10. Andrey Itkin

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.

  1. Option Valuation under Stochastic Volatility
  2. THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
  3. Processes of normal inverse Gaussian type
  4. Spanning and Derivative-Security Valuation
  5. Stochastic Volatility for Lévy Processes
  6. A Simple Option Formula for General Jump-Diffusion and Other Exponential Levy Processes
  7. A Theory for the Term Structure of Interest Rates
  8. Post-'87 crash fears in the S&P 500 futures option market
  9. Russian and American put options under exponential phase-type Lévy models
  10. The Fine Structure of Asset Retums : An Empirical Investigation '

Their papers