Roger Lee

Associate Professor
Department of Mathematics
University of Chicago

Editorial Boards

Associate Editor, Mathematical Finance
Associate Editor, SIAM Journal on Financial Mathematics
Associate Editor, Applied Mathematical Finance
Associate Editor, High Frequency

Invited Talks 2008-2017

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 (Chicago)
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)
2014 October 21: Risk USA
2014 November 15: SIAM FM14
2014 November 18-20: ICBI Global Derivatives USA (Chicago)
2014 December 1-3: IMPA Research in Options, Buzios
2015 February 23: IAQF - Thalesians
2015 April 23: Princeton University
2015 June 25-27: IMS-FIPS
2015 October 3-4: AMS sectional Loyola University
2015 October 6: UIUC
2016 January 8: Joint Mathematics Meetings, Seattle
2016 March 18-20: Eastern Conference on Mathematical Finance
2016 March 31: Stevens Institute
2016 June 23: Wilfrid Laurier University, Waterloo
2016 July 15-19: Bachelier World Congress, New York
2016 November 17-19: SIAM FME, San Antonio
2017 February 26 - March 4: Oberwolfach
2017 March 22: University of Michigan
2017 October 13-15: Gatheral 60, New York
2018 March 21: Purdue University
2018 March 23: Florida State University
2018 June: IMA

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.