Roger Lee

Associate Professor
Department of Mathematics
University of Chicago

Editorial Boards

Associate Editor, Mathematical Finance
Associate Editor, SIAM Journal on Financial Mathematics

Invited Talks 2008-2014

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 February 5: National University of Singapore
2010 March 18-19: University of Oxford
2010 March 22: Carnegie Mellon University
2010 May 4-5: University of Warwick
2010 May 24-28: Fields Institute, Toronto
2010 June 22-26: Bachelier Finance Society, Toronto
2010 August 23-28: European Summer School in Financial Mathematics
2010 November 19-20: SIAM Financial Mathematics, San Francisco
2010 November 29 - Dec 1: IMPA Research in Options, Rio de Janeiro
2010 December 14-18: CREST and Sakigake International Symposium, Tokyo
2011 January 23-29: Oberwolfach
2011 February 2: Columbia-CUNY Joint Risk Seminar
2011 March 18-20: AMS Special Session, Iowa City
2011 March 26: SIAM SEAS, Charlotte
2011 April 4: Purdue University
2011 April 22: University of Chicago
2011 May 3: Hong Kong University of Science and Technology
2011 May 20: Depaul University
2011 July 18-22: ICIAM, Vancouver
2011 August 31: Columbia University, Financial Engineering Seminar
2011 November 15: ICBI Global Derivatives USA
2011 November 28-30: IMPA Research in Options, Angra dos Reis
2012 March 26-27: Frankfurt MathFinance Conference
2012 July 9-11: SIAM Financial Mathematics and Engineering, Minneapolis
2012 November 14: ICBI Global Derivatives USA
2012 December 10-12: IMPA Research in Options, Buzios
2013 January 24-26: Stanford University
2013 April 1: Illinois Institute of Technology
2013 April 6-7: AMS Eastern Sectional, Boston
2013 July 17-18: Risk Quant Congress USA (New York)
2013 July 29: University of Waterloo
2013 November 20: ICBI Global Derivatives USA (Chciago)
2013 December 2-4: IMPA Research in Options, Buzios
2014 March 7: University of Minnesota
2014 March 11: Rutgers University
2014 March 19: Cornell Financial Engineering Manhattan
2014 March 31: USC
2014 May 12-15: Global Derivatives 2014 (Amsterdam)

Papers

"Asymptotics of Implied Volatility to Arbitrary Order"
Finance and Stochastics, forthcoming. link
Joint with K Gao.

"Variation and Weighted Variation Swaps on Time-Changed Levy Processes"
Finance and Stochastics, forthcoming. pdf
Joint with P Carr.

"The Small-Time Smile and Term Structure of Implied Volatility Under the Heston Model "
SIAM Journal on Financial Mathematics, (2012) vol 3, 690-708.
pdf
Joint with M Forde and A Jacquier.

"Variance Swaps on Time-Changed Levy Processes"
Finance and Stochastics, vol 16 issue 2 (2012), 335-355. pdf
Joint with P Carr and L Wu.

"Displaced Lognormal Volatility Skews:
Analysis and Applications to Stochastic Volatility Simulations"
Annals of Finance, vol 8 issue 2 (2012), 159-181. pdf
Joint with D Wang.

"Volatility Derivatives"
Annual Review of Financial Economics, vol 1 (2009), 319-339.
Joint with P Carr.

In Encyclopedia of Quantitative Finance (2010):
"Weighted Variance Swap" (also known as a generalized variance swap)
"Corridor Variance Swap"
"Gamma Swap"
"Realized Volatility Options"

"Hedging Variance Options on Continuous Semimartingales" pdf
Joint with P Carr.
Finance and Stochastics, vol 14 issue 2 (2010), 179-207.

"Put-Call Symmetry: Extensions and Applications" pdf
Joint with P Carr.
Mathematical Finance, vol 19 issue 4 (2009), 523-560.

"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.