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Monte Carlo Valuation of American Options

Chris Rogers is Professor of Probability and Director of the Financial Studies Group at the University of Bath.
Event information
Date 24th October 2000
Time 1:00pm - 2:00pm
Venue ICMA Centre, Room G03/04
Event types:
Research Seminars

He came to Bath in January 1994, from Queen Mary & Westfield College, University of London, where he had been Professor of Mathematical Statistics for three years. Before that, he had held teaching positions at the University of Cambridge, the University College of Swansea, and the University of Warwick. Chris works in the theory and applications of probability, with particular emphasis on applications to mathematical finance. Together with Professor David Williams, Chris wrote the two volume work `Diffusions, Markov Processes, and Martingales? (Cambridge University Press).