Concepedia

Roger Lord

RL

Statistics

Publications

14

Citations

890

H-Index

12

Active since

2005

Affiliations

Erasmus University Rotterdam(Current)

University of Amsterdam

University of Wuppertal

Roger Lord is an author at Erasmus University Rotterdam specializing in engineering, option pricing, and business.

Top concepts

EngineeringBusinessAsset PricingOption PricingStochastic VolatilityMultivariate Stochastic VolatilityFinanceGeometryEconomicsEducation

Publications per year

2005–2010

14

Publications

14

A comparison of biased simulation schemes for stochastic volatility models

Roger Lord, Remmert Koekkoek, Dick van Dijk · Quantitative Finance · 2009 · 320 citations · Full text

A Comparison of Biased Simulation Schemes for Stochastic Volatility Models

Roger Lord, Remmert Koekkoek, Dick van Dijk · SSRN Electronic Journal · 2008 · 109 citations · Full text

COMPLEX LOGARITHMS IN HESTON-LIKE MODELS

Roger Lord, Christian Kahl · Mathematical Finance · 2010 · 89 citations

Option Pricing, Multivariate Stochastic Volatility, Engineering +13

Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility

A. van Haastrecht, Roger Lord, Antoon Pelsser et al. · Insurance Mathematics and Economics · 2009 · 80 citations · Full text

Economics, Multivariate Stochastic Volatility, Option Pricing +9

Optimal Fourier Inversion in Semi-Analytical Option Pricing

Roger Lord, Christian Kahl · SSRN Electronic Journal · 2007 · 57 citations · Full text

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