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Roger Lord |
| Personal Data | Resumé | Research |
| Full name: | Roger Lord |
| Titles: | Ph.D., M.Sc., M.A. |
| Affiliation: | Financial Engineering, Cardano |
| e-mail: | r (dot) lord (at) cardano (dot) com |
| 2009-present | Cardano, Financial Engineering, Senior Financial Engineer |
| 2006-2009 | Rabobank International, Financial Engineering, Quantitative Analyst, Associate Director |
| 2003-2008 | Ph.D. in Finance, Tinbergen Institute, Erasmus University Rotterdam |
| 2002-2006 | Rabobank International, Derivatives Research & Validation Team, Quantitative Analyst |
| 2001-2002 | Cardano Risk Management, Quantitative Analyst, developing and implementing pricing models for derivatives |
| 2001 | Rabobank International, Derivatives Research & Validation Team, Master's thesis on rating sensitive credit derivatives |
| 1999-2000 | Rabobank Group, Center for Applied Mathematics, Master's thesis on derivative contracts on real estate indices |
| 1995-1996 | First year of Computer Science completed, Eindhoven University of Technology |
| 1996-2001 | M.A. in Econometrics (cum laude), Tilburg University, specialisation in Quantitative Finance |
| 1995-2001 | M.Sc. in Applied Mathematics (cum laude), Eindhoven University of Technology, specialisation in Statistics and Probability |
Research interests
Numerical methods, stochastic volatility models, affine/quadratic models, (callable) interest rate / hybrid derivatives, Asian options
PhD thesis
Lord, R. (2008). "Efficient pricing algorithms for exotic derivatives", PhD thesis, Erasmus University Rotterdam.
Master's theses
Lord, R. (2000). "Shared appreciation mortgages - A risk analysis", Master's thesis, Eindhoven University of Technology and Rabobank Group.
Working papers
My SSRN author page
My RePEc author page
Book contributions
Lord, R. (2009). "Fourier methods in option pricing", forthcoming in: Encyclopedia of Quantitative Finance (ed.: R. Cont).
Publications
Abstracts