Details about Erik Schlogl

Access statistics for papers by Erik Schlogl.

Last updated 2025-04-07. Update your information in the RePEc Author Service.

Short-id: psc85

Working Papers

2021

1. Short Rate Dynamics: A Fed Funds and SOFR Perspective
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (10)
   Also in Papers, arXiv.org (2021) View citations (10)

2019

2. Model Risk Measurement under Wasserstein Distance
   Papers, arXiv.org View citations (2)
   Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2018) View citations (3)
3. Term Rates, Multicurve Term Structures and Overnight Rate Benchmarks: A Roll-Over Risk Approach
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (4)
4. The Impact of Jumps on American Option Pricing: The S&P 100 Options Case
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney

2018

5. A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors
   Papers, arXiv.org View citations (2)
   Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2017) View citations (9)
   See also Journal Article A consistent stochastic model of the term structure of interest rates for multiple tenors, Journal of Economic Dynamics and Control, Elsevier (2020) View citations (6) (2020)
6. Arbitrage-Free Interpolation in Models of Market Observable Interest Rates
   Papers, arXiv.org
   Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2001) View citations (11)
7. On Numerical Methods for Spread Options
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)
8. Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
   Also in Papers, arXiv.org (2018)
   See also Journal Article Parameter Learning and Change Detection Using a Particle Filter with Accelerated Adaptation, Risks, MDPI (2021) (2021)
9. Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models
   Papers, arXiv.org View citations (2)
   Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2018) View citations (2)
   See also Journal Article Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models, Risks, MDPI (2021) View citations (1) (2021)

2016

10. Calibrating Market Model to Commodity and Interest Rate Risk
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (3)
11. Empirical Hedging Performance on Long-Dated Crude Oil Derivatives
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (5)
12. Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter?
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (6)
13. Hedging Futures Options with Stochastic Interest Rates
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (4)
14. Pricing American Options under Regime Switching Using Method of Lines
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (10)

2015

15. Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (6)

2014

16. A Consistent Framework for Modelling Basis Spreads in Tenor Swaps
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (5)

2012

17. Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (7)

2010

18. Calibration of Multicurrency LIBOR Market Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
19. Equity-Linked Pension Schemes with Guarantees
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)
    See also Journal Article Equity-linked pension schemes with guarantees, Insurance: Mathematics and Economics, Elsevier (2011) View citations (8) (2011)

2009

20. A Hybrid Commodity and Interest Rate
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (3)
21. Alternative Defaultable Term Structure Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
    See also Journal Article Alternative Defaultable Term Structure Models, Asia-Pacific Financial Markets, Springer (2009) (2009)

2007

22. Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney

2005

23. A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney

2004

24. A Markovian Defaultable Term Structure Model with State Dependent Volatilities
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (4)
    See also Journal Article A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2007) View citations (3) (2007)

2003

25. Correlating Market Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (8)
26. The Risk Management of Minimum Return Guarantees
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (7)
    Also in Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE) (2003) View citations (5)

2002

27. Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney

2000

28. Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (8)
    See also Journal Article SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2001) View citations (2) (2001)

1999

29. A Multicurrency Extension of the Lognormal Interest Rate Market Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (7)
    See also Journal Article A multicurrency extension of the lognormal interest rate Market Models, Finance and Stochastics, Springer (2002) View citations (50) (2002)
30. A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
    See also Journal Article A square root interest rate model fitting discrete initial term structure data, Applied Mathematical Finance, Taylor & Francis Journals (2000) View citations (10) (2000)
31. Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (9)

Journal Articles

2025

1. Lost in the LIBOR transition
   Quantitative Finance, 2025, 25, (1), 17-30

2024

2. Modifying Sequential Monte Carlo Optimisation for Index Tracking to Allow for Transaction Costs
   Risks, 2024, 12, (10), 1-44
3. SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates
   Journal of Futures Markets, 2024, 44, (6), 936-985

2023

4. A Hyperbolic Bid Stack Approach to Electricity Price Modelling
   Risks, 2023, 11, (8), 1-39
5. Analysing Quantiles in Models of Forward Term Rates
   Risks, 2023, 11, (2), 1-18

2021

6. Parameter Learning and Change Detection Using a Particle Filter with Accelerated Adaptation
   Risks, 2021, 9, (12), 1-18
   See also Working Paper Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation, Research Paper Series (2018) (2018)
7. Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models
   Risks, 2021, 9, (1), 1-20 View citations (1)
   See also Working Paper Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models, Papers (2018) View citations (2) (2018)

2020

8. A consistent stochastic model of the term structure of interest rates for multiple tenors
   Journal of Economic Dynamics and Control, 2020, 114, (C) View citations (6)
   See also Working Paper A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors, Papers (2018) View citations (2) (2018)

2019

9. Interest rate risk in long‐dated commodity options positions: To hedge or not to hedge?
   Journal of Futures Markets, 2019, 39, (1), 109-127
10. ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM
    International Journal of Theoretical and Applied Finance (IJTAF), 2019, 22, (05), 1-20 View citations (2)
11. Regime switching rough Heston model
    Journal of Futures Markets, 2019, 39, (5), 538-552 View citations (7)

2018

12. Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?
    Journal of Banking & Finance, 2018, 95, (C), 148-166 View citations (20)

2017

13. Calibrating a market model with stochastic volatility to commodity and interest rate risk
    Quantitative Finance, 2017, 17, (6), 907-925

2013

14. A hybrid commodity and interest rate market model
    Quantitative Finance, 2013, 13, (4), 543-560 View citations (10)
15. Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order
    Journal of Economic Dynamics and Control, 2013, 37, (3), 611-632 View citations (13)

2011

16. Equity-linked pension schemes with guarantees
    Insurance: Mathematics and Economics, 2011, 49, (3), 547-564 View citations (8)
    See also Working Paper Equity-Linked Pension Schemes with Guarantees, Research Paper Series (2010) View citations (2) (2010)

2009

17. Alternative Defaultable Term Structure Models
    Asia-Pacific Financial Markets, 2009, 16, (1), 1-31
    See also Working Paper Alternative Defaultable Term Structure Models, Research Paper Series (2009) (2009)

2007

18. A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps
    Applied Mathematical Finance, 2007, 14, (5), 365-399
19. A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES
    International Journal of Theoretical and Applied Finance (IJTAF), 2007, 10, (01), 155-202 View citations (3)
    See also Working Paper A Markovian Defaultable Term Structure Model with State Dependent Volatilities, Research Paper Series (2004) View citations (4) (2004)

2002

20. A multicurrency extension of the lognormal interest rate Market Models
    Finance and Stochastics, 2002, 6, (2), 173-196 View citations (50)
    See also Working Paper A Multicurrency Extension of the Lognormal Interest Rate Market Models, Research Paper Series (1999) View citations (7) (1999)

2001

21. SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL
    International Journal of Theoretical and Applied Finance (IJTAF), 2001, 04, (04), 677-709 View citations (2)
    See also Working Paper Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model, Research Paper Series (2000) View citations (8) (2000)

2000

22. A square root interest rate model fitting discrete initial term structure data
    Applied Mathematical Finance, 2000, 7, (3), 183-209 View citations (10)
    See also Working Paper A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data, Research Paper Series (1999) (1999)