Erik Schlogl
Names
| first: |
Erik |
| last: |
Schlogl |
Identifer
Contact
| homepage: |
http://www.schlogl.com |
|
| phone: |
+61 2 9514 2535 |
| postal address: |
School of Mathematical and Physical Sciences
University of Technology, Sydney
PO Box 123
Broadway NSW 2007
Australia |
Affiliations
-
University of Technology Sydney
/ Business School
/ Finance Discipline Group
Research profile
author of:
- Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation (RePEc:arx:papers:1806.05387)
by Karol Gellert & Erik Schlogl - Arbitrage-Free Interpolation in Models of Market Observable Interest Rates (RePEc:arx:papers:1806.08107)
by Erik Schlogl - Model Risk Measurement under Wasserstein Distance (RePEc:arx:papers:1809.03641)
by Yu Feng & Erik Schlogl - A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors (RePEc:arx:papers:1809.06643)
by Mesias Alfeus & Martino Grasselli & Erik Schlogl - Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models (RePEc:arx:papers:1810.09112)
by Yu Feng & Ralph Rudd & Christopher Baker & Qaphela Mashalaba & Melusi Mavuso & Erik Schlogl - Short Rate Dynamics: A Fed Funds and SOFR perspective (RePEc:arx:papers:2101.04308)
by Karol Gellert & Erik Schlogl - A consistent stochastic model of the term structure of interest rates for multiple tenors (RePEc:eee:dyncon:v:114:y:2020:i:c:s0165188920300312)
by Alfeus, Mesias & Grasselli, Martino & Schlögl, Erik - Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order (RePEc:eee:dyncon:v:37:y:2013:i:3:p:611-632)
by Schlögl, Erik - Equity-linked pension schemes with guarantees (RePEc:eee:insuma:v:49:y:2011:i:3:p:547-564)
by Nielsen, J. Aase & Sandmann, Klaus & Schlögl, Erik - Pricing of long-dated commodity derivatives: Do stochastic interest rates matter? (RePEc:eee:jbfina:v:95:y:2018:i:c:p:148-166)
by Cheng, Benjamin & Nikitopoulos, Christina Sklibosios & Schlögl, Erik - Analysing Quantiles in Models of Forward Term Rates (RePEc:gam:jrisks:v:11:y:2023:i:2:p:29-:d:1049181)
by Thomas A. McWalter & Erik Schlögl & Jacques van Appel - A Hyperbolic Bid Stack Approach to Electricity Price Modelling (RePEc:gam:jrisks:v:11:y:2023:i:8:p:147-:d:1214712)
by Krisztina Katona & Christina Sklibosios Nikitopoulos & Erik Schlögl - Modifying Sequential Monte Carlo Optimisation for Index Tracking to Allow for Transaction Costs (RePEc:gam:jrisks:v:12:y:2024:i:10:p:155-:d:1489561)
by Leila Hamilton-Russell & Thomas Malan O’Callaghan & Dmitrii Savin & Erik Schlögl - Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models (RePEc:gam:jrisks:v:9:y:2021:i:1:p:13-:d:474489)
by Yu Feng & Ralph Rudd & Christopher Baker & Qaphela Mashalaba & Melusi Mavuso & Erik Schlögl - Parameter Learning and Change Detection Using a Particle Filter with Accelerated Adaptation (RePEc:gam:jrisks:v:9:y:2021:i:12:p:228-:d:704389)
by Karol Gellert & Erik Schlögl - Alternative Defaultable Term Structure Models (RePEc:kap:apfinm:v:16:y:2009:i:1:p:1-31)
by Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen & Erik Schlögl - A multicurrency extension of the lognormal interest rate Market Models (RePEc:spr:finsto:v:6:y:2002:i:2:p:173-196)
by Erik Schlögl - A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps (RePEc:taf:apmtfi:v:14:y:2007:i:5:p:365-399)
by Carl Chiarella & Christina Nikitopoulos Sklibosios & Erik Schlogl - A square root interest rate model fitting discrete initial term structure data (RePEc:taf:apmtfi:v:7:y:2000:i:3:p:183-209)
by Erik Schlogl & Lutz Schlogl - A hybrid commodity and interest rate market model (RePEc:taf:quantf:v:13:y:2013:i:4:p:543-560)
by K. F. Pilz & E. Schlögl - Calibrating a market model with stochastic volatility to commodity and interest rate risk (RePEc:taf:quantf:v:17:y:2017:i:6:p:907-925)
by P. Karlsson & K. F. Pilz & E. Schlögl - The Risk Management of Minimum Return Guarantees (RePEc:uts:rpaper:102)
by Antje Mahayni & Erik Schlögl - Correlating Market Models (RePEc:uts:rpaper:105)
by Bruce Choy & Tim Dun & Erik Schlögl - A Markovian Defaultable Term Structure Model with State Dependent Volatilities (RePEc:uts:rpaper:135)
by Carl Chiarella & Erik Schlögl & Christina Nikitopoulos-Sklibosios - A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps (RePEc:uts:rpaper:167)
by Carl Chiarella & Christina Nikitopoulos-Sklibosios & Erik Schlogl - Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives (RePEc:uts:rpaper:19)
by Antje Dudenhausen & Erik Schlögl & Lutz Schlögl - Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing (RePEc:uts:rpaper:190)
by Erik Schlögl & Lutz Schlögl - A Multicurrency Extension of the Lognormal Interest Rate Market Models (RePEc:uts:rpaper:20)
by Erik Schlögl - A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data (RePEc:uts:rpaper:24)
by Erik Schlögl & Lutz Schlögl - Alternative Defaultable Term Structure Models (RePEc:uts:rpaper:242)
by Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen & Erik Schlogl - A Hybrid Commodity and Interest Rate (RePEc:uts:rpaper:261)
by Kay Pilz & Erik Schlogl - Equity-Linked Pension Schemes with Guarantees (RePEc:uts:rpaper:270)
by J. Aase Nielsen & Klaus Sandmann & Erik Schlogl - Calibration of Multicurrency LIBOR Market Models (RePEc:uts:rpaper:286)
by Kay Pilz & Erik Schlogl - Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets (RePEc:uts:rpaper:310)
by Erik Schlogl & Yang Chang - A Consistent Framework for Modelling Basis Spreads in Tenor Swaps (RePEc:uts:rpaper:348)
by Yang Chang & Erik Schlogl - Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates (RePEc:uts:rpaper:366)
by Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl - Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? (RePEc:uts:rpaper:367)
by Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl - Pricing American Options under Regime Switching Using Method of Lines (RePEc:uts:rpaper:368)
by Carl Chiarella & Christina Nikitopoulos-Sklibosios & Erik Schlogl & Hongang Yang - Calibrating Market Model to Commodity and Interest Rate Risk (RePEc:uts:rpaper:372)
by Patrik Karlsson & Kay F Pilz & Erik Schlogl - Hedging Futures Options with Stochastic Interest Rates (RePEc:uts:rpaper:375)
by Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl - Empirical Hedging Performance on Long-Dated Crude Oil Derivatives (RePEc:uts:rpaper:376)
by Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl - A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors (RePEc:uts:rpaper:384)
by Mesias Alfeus & Martino Grasselli & Erik Schlögl - On Numerical Methods for Spread Options (RePEc:uts:rpaper:388)
by Mesias Alfeus & Erik Schlögl - Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation (RePEc:uts:rpaper:392)
by Karol Gellert & Erik Schlögl - Model Risk Measurement Under Wasserstein Distance (RePEc:uts:rpaper:393)
by Yu Feng & Erik Schlogl - Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models (RePEc:uts:rpaper:395)
by Yu Feng & Ralph Rudd & Christopher Baker & Qaphela Mashalaba & Melusi Mavuso & Erik Schlogl - The Impact of Jumps on American Option Pricing: The S&P 100 Options Case (RePEc:uts:rpaper:397)
by Boda Kang & Christina Nikitopoulos Sklibosios & Erik Schlogl & Blessing Taruvinga - Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model (RePEc:uts:rpaper:40)
by Tim Dunn & Erik Schlögl & Geoff Barton - Term Rates, Multicurve Term Structures and Overnight Rate Benchmarks: A Roll-Over Risk Approach (RePEc:uts:rpaper:400)
by Alex Backwell & Andrea Macrina & Erik Schlogl & David Skovmand - Short Rate Dynamics: A Fed Funds and SOFR Perspective (RePEc:uts:rpaper:420)
by Karol Gellert & Erik Schlogl - Arbitrage-Free Interpolation in Models of Market Observable Interest Rates (RePEc:uts:rpaper:71)
by Erik Schlögl - Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices (RePEc:uts:rpaper:79)
by Erik Schlögl - Interest rate risk in long‐dated commodity options positions: To hedge or not to hedge? (RePEc:wly:jfutmk:v:39:y:2019:i:1:p:109-127)
by Benjamin Cheng & Christina Sklibosios Nikitopoulos & Erik Schlögl - Regime switching rough Heston model (RePEc:wly:jfutmk:v:39:y:2019:i:5:p:538-552)
by Mesias Alfeus & Ludger Overbeck & Erik Schlögl - SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates (RePEc:wly:jfutmk:v:44:y:2024:i:6:p:936-985)
by Alan Brace & Karol Gellert & Erik Schlögl - Simulated Swaption Delta–Hedging In The Lognormal Forward Libor Model (RePEc:wsi:ijtafx:v:04:y:2001:i:04:n:s0219024901001127)
by Tim Dun & Geoff Barton & Erik Schlögl - A Markovian Defaultable Term Structure Model With State Dependent Volatilities (RePEc:wsi:ijtafx:v:10:y:2007:i:01:n:s0219024907004147)
by Carl Chiarella & Christina Nikitopoulos Sklibosios & Erik Schlögl - On Spread Option Pricing Using Two-Dimensional Fourier Transform (RePEc:wsi:ijtafx:v:22:y:2019:i:05:n:s0219024919500237)
by Mesias Alfeus & Erik Schlögl - The Risk Management of Minimum Return Guarantees (RePEc:zbw:bonedp:182003)
by Mahayni, Antje & Schlögl, Erik