Diffusions, Markov processes, and martingales: Itô calculus LCG Rogers, D Williams Cambridge university press, 2000 | 4939* | 2000 |

Estimating variance from high, low and closing prices LCG Rogers, SE Satchell The Annals of Applied Probability, 504-512, 1991 | 861 | 1991 |

Arbitrage with fractional Brownian motion LCG Rogers Mathematical finance 7 (1), 95-105, 1997 | 824 | 1997 |

The value of an Asian option LCG Rogers, Z Shi Journal of Applied Probability 32 (4), 1077-1088, 1995 | 789 | 1995 |

Monte Carlo valuation of American options LCG Rogers Mathematical Finance 12 (3), 271-286, 2002 | 739 | 2002 |

Failure and rescue in an interbank network LCG Rogers, LAM Veraart Management Science 59 (4), 882-898, 2013 | 448 | 2013 |

Complete models with stochastic volatility DG Hobson, LCG Rogers Mathematical Finance 8 (1), 27-48, 1998 | 422 | 1998 |

Markov functions LCG Rogers, JW Pitman The Annals of Probability, 573-582, 1981 | 319 | 1981 |

Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains LCG Rogers The Annals of Applied Probability, 390-413, 1994 | 305 | 1994 |

Optimal capital structure and endogenous default B Hilberink, LCG Rogers Finance and Stochastics 6, 237-263, 2002 | 304 | 2002 |

The potential approach to the term structure of interest rates and foreign exchange rates LCG Rogers Mathematical Finance 7 (2), 157-176, 1997 | 252 | 1997 |

Which model for term-structure of interest rates should one use? LCG Rogers Institute for Mathematics and Its Applications 65, 93, 1995 | 223 | 1995 |

Coupling of multidimensional diffusions by reflection T Lindvall, LCG Rogers The Annals of Probability, 860-872, 1986 | 216 | 1986 |

Estimating the volatility of stock prices: a comparison of methods that use high and low prices LCG Rogers, SE Satchell, Y Yoon Applied Financial Economics 4 (3), 241-247, 1994 | 205 | 1994 |

Robust hedging of barrier options H Brown, D Hobson, LCG Rogers Mathematical Finance 11 (3), 285-314, 2001 | 203 | 2001 |

Equivalent martingale measures and no-arbitrage LCG Rogers Stochastics: An International Journal of Probability and Stochastic …, 1994 | 187 | 1994 |

The relaxed investor and parameter uncertainty LCG Rogers Finance and stochastics 5, 131-154, 2001 | 186 | 2001 |

Option pricing with Markov-modulated dynamics A Jobert, LCG Rogers SIAM Journal on Control and Optimization 44 (6), 2063-2078, 2006 | 181 | 2006 |

Optimal investment LCG Rogers Springer, 2013 | 177 | 2013 |

The cost of illiquidity and its effects on hedging LCG Rogers, S Singh Mathematical Finance: An International Journal of Mathematics, Statistics …, 2010 | 167 | 2010 |