Diffusions, Markov processes and martingales: Volume 2, Itô calculus LCG Rogers, D Williams Cambridge university press, 2000 | 3920* | 2000 |

The value of an Asian option LCG Rogers, Z Shi Journal of Applied Probability, 1077-1088, 1995 | 710 | 1995 |

Arbitrage with fractional Brownian motion LCG Rogers Mathematical Finance 7 (1), 95-105, 1997 | 660 | 1997 |

Monte Carlo valuation of American options LCG Rogers Mathematical Finance 12 (3), 271-286, 2002 | 647 | 2002 |

Estimating variance from high, low and closing prices LCG Rogers, SE Satchell The Annals of Applied Probability, 504-512, 1991 | 645 | 1991 |

Second memoir on the expansion of certain infinite products LJ Rogers Proceedings of the London Mathematical Society 1 (1), 318-343, 1893 | 601 | 1893 |

Lecture notes in mathematics R Carmona, I Ekeland, A Kohatsu-Higa, JM Lasry, PL Lions, H Pham Springer-Verlag, 2007 | 409* | 2007 |

Complete models with stochastic volatility DG Hobson, LCG Rogers Mathematical Finance 8 (1), 27-48, 1998 | 361 | 1998 |

Diffusions, Markov processes, and martingales: Itô calculus D Williams, LCG Rogers John Wiley & Sons Incorporated, 1987 | 350 | 1987 |

Optimal capital structure and endogenous default B Hilberink, LCG Rogers Finance and Stochastics 6 (2), 237-263, 2002 | 271 | 2002 |

Failure and rescue in an interbank network LCG Rogers, LAM Veraart Management Science 59 (4), 882-898, 2013 | 267 | 2013 |

Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains LCG Rogers The Annals of Applied Probability 4 (2), 390-413, 1994 | 253 | 1994 |

Markov functions LCG Rogers, JW Pitman The Annals of Probability, 573-582, 1981 | 246 | 1981 |

The potential approach to the term structure of interest rates and foreign exchange rates LCG Rogers Mathematical Finance 7 (2), 157-176, 1997 | 243 | 1997 |

Diffusions LCG Rogers, D Williams Markov processes and martingales 1, 2, 2000 | 232 | 2000 |

On two theorems of combinatory analysis and some allied identities LJ Rogers Proceedings of the London Mathematical Society 2 (1), 315-336, 1917 | 228 | 1917 |

Proof of certain identities in combinatory analysis S Ramanujan, LJ Rogers Proc. Cambridge Philos. Soc 19 (214-216), 3, 1919 | 222 | 1919 |

Which model for term-structure of interest rates should one use? LCG Rogers IMA 65, 93, 1995 | 217 | 1995 |

Convergence of numerical schemes for degenerate parabolic equations arising in finance theory G Barles Numerical methods in finance 13 (1), 1997 | 193 | 1997 |

Robust hedging of barrier options H Brown, D Hobson, LCG Rogers Mathematical Finance 11 (3), 285-314, 2001 | 172 | 2001 |