Roger Lee

Identifiers

• name variant Roger Lee 0.60 · backfill

Papers (5)

1. Portfolio Optimization under Fast and Slow Latent Mean-Reverting and Momentum Drift q-fin.MF · 2026 · author #2
2. All AMMs are CFMMs. All DeFi markets have invariants. A DeFi market is arbitrage-free if and only if it has an increasing invariant q-fin.TR · 2023 · author #1
3. Robust Replication of Volatility and Hybrid Derivatives on Jump Diffusions q-fin.MF · 2021 · author #2
4. Pricing Variance Swaps on Time-Changed Markov Processes q-fin.MF · 2017 · author #2
5. Robust replication of barrier-style claims on price and volatility q-fin.MF · 2015 · author #2

Mentions

• 2310.09782 #1 · arxiv_oai · confidence 0.70 Roger Lee
• 1508.00632 #2 · arxiv_oai · confidence 0.70 Roger Lee
• 2107.00554 #2 · arxiv_oai · confidence 0.70 Roger Lee
• 1705.01069 #2 · arxiv_oai · confidence 0.70 Roger Lee
• 2607.01705 #2 · arxiv_oai · confidence 0.70 Roger Lee

Frequent Coauthors

• Matthew Lorig 3 shared papers
• Peter Carr 3 shared papers
• Dannin J. Eccles 1 shared papers