Roger Lee

Assistant Professor
Department of Mathematics
University of Chicago

Email: [the initials of my first and last name]@math.uchicago.edu

My Talks 2008-9

2008 January 9: AMS, San Diego
2008 February 29: Midwest Finance Association, San Antonio
2008 March 26: Fields Institute, Toronto
2008 April 11: Purdue University
2008 April 18: University of Minnesota
2008 June 19-20: RISK Volatility Trading, New York
2008 June 27-29: Chicago-Paris meeting in finance, France
2008 July 15-19: Bachelier Finance Society, London
2008 October 10-11: Princeton Bendheim Center for Finance 2008 conference
2008 October 20: Singapore Management University
2008 December 1-2: RISK Modelling Volatility, New York
2009 January 8: AMS, Washington DC
2009 February 23: Illinois Institute of Technology
2009 April 14: University of Illinois, Urbana-Champaign
2009 April 21: Rutgers University
2009 June 16: Oxford -- Man Institute
2009 June 18-20: University of Leicester
2009 October 2: University of Minnesota
2009 December 7-8: RISK Volatility Trading, New York
2010 March 18-20: University of Oxford
2010 May 4-5: University of Warwick
2010 May 24-28: Fields Institute, Toronto
2010 November 19-20: SIAM Financial Mathematics, San Francisco

Papers

"Volatility Derivatives"
Annual Review of Financial Economics, forthcoming
Joint with P Carr.

Forthcoming in Encyclopedia of Quantitative Finance:
"Weighted Variance Swap" (also known as a generalized variance swap)
"Corridor Variance Swap"
"Gamma Swap"

"Hedging Variance Options on Continuous Semimartingales" pdf
Joint with P Carr.
Finance and Stochastics, forthcoming.

"Put-Call Symmetry: Extensions and Applications" pdf
Joint with P Carr.
Mathematical Finance, forthcoming.

"Robust Replication of Volatility Derivatives" pdf
Joint with P Carr.
PRMIA award for Best Paper in Derivatives, MFA 2008 Annual Meeting.

"Realized Volatility and Variance: Options via Swaps"
Joint with P Carr.
RISK, vol 20 issue 5 (2007), 76-83. pdf including unpublished appendices.
Reprinted in Structured Products, Risk Books (2008).

"On the Black-Scholes Implied Volatility at Extreme Strikes"
Joint with S Benaim and P Friz. Refereed and forthcoming: Frontiers in Quantitative Finance: Volatility and Credit Risk Modeling . pdf

"The Moment Formula for Implied Volatility at Extreme Strikes "
Mathematical Finance, vol 14 issue 3 (July 2004), 469-480. pdf

"Option Pricing by Transform Methods: Extensions, Unification, and Error Control"
Journal of Computational Finance, vol 7 issue 3 (Spring 2004), 51-86.
February 2005 version: pdf

"Implied Volatility: Statics, Dynamics, and Probabilistic Interpretation"
In Recent Advances in Applied Probability, Springer (2005).   pdf

"Implied and Local Volatilities under Stochastic Volatility"
International Journal of Theoretical and Applied Finance, vol 4 issue 1 (2001) 45-89.