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Details about Erik Schlogl

E-mail:
Homepage:http://www.schlogl.com
Phone:+61 2 9514 7785
Postal address:Finance Discipline Group UTS Business School University of Technology, Sydney PO Box 123 Broadway NSW 2007 Australia
Workplace:Finance Discipline Group, Business School, University of Technology Sydney, (more information at EDIRC)

Access statistics for papers by Erik Schlogl.

Last updated 2019-09-24. Update your information in the RePEc Author Service.

Short-id: psc85


Jump to Journal Articles

Working Papers

2019

  1. 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 Downloads

2018

  1. Model Risk Measurement Under Wasserstein Distance
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (2)
  2. On Numerical Methods for Spread Options
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
  3. Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
  4. Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads

2017

  1. A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (6)

2016

  1. Calibrating Market Model to Commodity and Interest Rate Risk
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (3)
  2. Empirical Hedging Performance on Long-Dated Crude Oil Derivatives
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (4)
  3. 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 Downloads View citations (5)
  4. Hedging Futures Options with Stochastic Interest Rates
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (4)
  5. Pricing American Options under Regime Switching Using Method of Lines
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (2)

2015

  1. Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (5)

2014

  1. A Consistent Framework for Modelling Basis Spreads in Tenor Swaps
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (4)

2012

  1. Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (5)

2010

  1. Calibration of Multicurrency LIBOR Market Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
  2. Equity-Linked Pension Schemes with Guarantees
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (2)
    See also Journal Article in Insurance: Mathematics and Economics (2011)

2009

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

2007

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

2005

  1. 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 Downloads

2004

  1. A Markovian Defaultable Term Structure Model with State Dependent Volatilities
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (4)
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2007)

2003

  1. Correlating Market Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (8)
  2. The Risk Management of Minimum Return Guarantees
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (6)
    Also in Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE) (2003) Downloads View citations (4)

2002

  1. 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 Downloads

2001

  1. Arbitrage-Free Interpolation in Models of Market Observable Interest Rates
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (10)

2000

  1. Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (8)
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2001)

1999

  1. A Multicurrency Extension of the Lognormal Interest Rate Market Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (7)
    See also Journal Article in Finance and Stochastics (2002)
  2. 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 in Applied Mathematical Finance (2000)
  3. Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (9)

Journal Articles

2019

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

2018

  1. Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?
    Journal of Banking & Finance, 2018, 95, (C), 148-166 Downloads View citations (7)

2017

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

2013

  1. A hybrid commodity and interest rate market model
    Quantitative Finance, 2013, 13, (4), 543-560 Downloads View citations (9)
  2. 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 Downloads View citations (11)

2011

  1. Equity-linked pension schemes with guarantees
    Insurance: Mathematics and Economics, 2011, 49, (3), 547-564 Downloads View citations (6)
    See also Working Paper (2010)

2009

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

2007

  1. A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps
    Applied Mathematical Finance, 2007, 14, (5), 365-399 Downloads
  2. A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES
    International Journal of Theoretical and Applied Finance (IJTAF), 2007, 10, (01), 155-202 Downloads View citations (2)
    See also Working Paper (2004)

2002

  1. A multicurrency extension of the lognormal interest rate Market Models
    Finance and Stochastics, 2002, 6, (2), 173-196 Downloads View citations (46)
    See also Working Paper (1999)

2001

  1. SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL
    International Journal of Theoretical and Applied Finance (IJTAF), 2001, 04, (04), 677-709 Downloads View citations (2)
    See also Working Paper (2000)

2000

  1. A square root interest rate model fitting discrete initial term structure data
    Applied Mathematical Finance, 2000, 7, (3), 183-209 Downloads View citations (10)
    See also Working Paper (1999)
 
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