Items where Author is "Rogers, L.C.G."

Rogers, L.C.G. and Veraart, Luitgard A. M. ORCID: 0000-0003-1183-2227 (2013) Faliure and rescue in an interbank network. Management Science, 59 (4). pp. 882-898. ISSN 0025-1909

Rogers, L.C.G. and Veraart, Luitgard A. M. ORCID: 0000-0003-1183-2227 (2008) A stochastic volatility alternative to SABR. Journal of Applied Probability, 45 (4). pp. 1071-1085. ISSN 0021-9002

Cetin, Umut ORCID: 0000-0001-8905-853X and Rogers, L.C.G. (2007) Modeling liquidity effects in discrete time. Mathematical Finance, 17 (1). pp. 15-29. ISSN 0960-1627