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Details about Erik Schlogl

E-mail:
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
Workplace:Finance Discipline Group, Business School, University of Technology Sydney, (more information at EDIRC)

Access statistics for papers by Erik Schlogl.

Last updated 2023-09-18. Update your information in the RePEc Author Service.

Short-id: psc85


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Working Papers

2021

  1. Short Rate Dynamics: A Fed Funds and SOFR Perspective
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (6)
    Also in Papers, arXiv.org (2021) Downloads View citations (6)

2019

  1. Model Risk Measurement under Wasserstein Distance
    Papers, arXiv.org Downloads View citations (2)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2018) Downloads View citations (3)
  2. 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 Downloads View citations (3)
  3. 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. A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors
    Papers, arXiv.org Downloads View citations (2)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2017) Downloads 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) Downloads View citations (5) (2020)
  2. Arbitrage-Free Interpolation in Models of Market Observable Interest Rates
    Papers, arXiv.org Downloads
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2001) Downloads View citations (11)
  3. On Numerical Methods for Spread Options
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
  4. Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
    Also in Papers, arXiv.org (2018) Downloads

    See also Journal Article Parameter Learning and Change Detection Using a Particle Filter with Accelerated Adaptation, Risks, MDPI (2021) Downloads (2021)
  5. 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 View citations (2)
    Also in Papers, arXiv.org (2018) Downloads View citations (2)

    See also Journal Article Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models, Risks, MDPI (2021) Downloads View citations (1) (2021)

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 (5)
  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 (6)
  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 (8)

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 (6)

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 (5)

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 (7)

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 Equity-linked pension schemes with guarantees, Insurance: Mathematics and Economics, Elsevier (2011) Downloads View citations (8) (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 Alternative Defaultable Term Structure Models, Asia-Pacific Financial Markets, Springer (2009) Downloads (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 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) Downloads View citations (3) (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
    Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE) Downloads View citations (5)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2003) Downloads View citations (7)

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

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 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) Downloads View citations (2) (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 A multicurrency extension of the lognormal interest rate Market Models, Finance and Stochastics, Springer (2002) Downloads View citations (50) (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 A square root interest rate model fitting discrete initial term structure data, Applied Mathematical Finance, Taylor & Francis Journals (2000) Downloads View citations (10) (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

2023

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

2021

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

2020

  1. A consistent stochastic model of the term structure of interest rates for multiple tenors
    Journal of Economic Dynamics and Control, 2020, 114, (C) Downloads View citations (5)
    See also Working Paper A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors, Papers (2018) Downloads View citations (2) (2018)

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 View citations (2)
  3. Regime switching rough Heston model
    Journal of Futures Markets, 2019, 39, (5), 538-552 Downloads View citations (7)

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 (18)

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 (10)
  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 (13)

2011

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

2009

  1. Alternative Defaultable Term Structure Models
    Asia-Pacific Financial Markets, 2009, 16, (1), 1-31 Downloads
    See also Working Paper Alternative Defaultable Term Structure Models, Research Paper Series (2009) Downloads (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 (3)
    See also Working Paper A Markovian Defaultable Term Structure Model with State Dependent Volatilities, Research Paper Series (2004) Downloads View citations (4) (2004)

2002

  1. A multicurrency extension of the lognormal interest rate Market Models
    Finance and Stochastics, 2002, 6, (2), 173-196 Downloads View citations (50)
    See also Working Paper A Multicurrency Extension of the Lognormal Interest Rate Market Models, Research Paper Series (1999) Downloads View citations (7) (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 Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model, Research Paper Series (2000) Downloads View citations (8) (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 A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data, Research Paper Series (1999) (1999)
 
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