Overview
L.C.G. (Chris) Rogers is Professor of Statistical Science at the University of Cambridge (Statistical Laboratory). He is a leading figure in mathematical finance, known for foundational work on diffusion theory (Rogers-Williams textbook Diffusions, Markov Processes, and Martingales, 2 vols.), interest rate modelling, optimal portfolio theory, and incomplete markets. His research spans stochastic control, Monte Carlo methods, and equilibrium asset pricing.
Key Contributions / Features
- Diffusions, Markov Processes, and Martingales (with D. Williams): standard graduate reference on continuous-time probability and its applications in finance.
- Work on interest rate models, including the potential approach to term structure modelling.
- Optimal portfolio theory under transaction costs and model uncertainty.
- Jobert, Platania, and Rogers (2006): Bayesian parameter uncertainty as the resolution to the equity premium puzzle; doubly Bayesian structure (agent updating dividend-growth parameters; econometrician inferring preferences via particle filter); convergence prefactor for CRRA pricing kernels.
Related