7
H index
3
i10 index
168
Citations
Erik Schlogl : Citation Profile
University of Technology Sydney | RESEARCH PRODUCTION: 16 Articles 32 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
22 years (1999 - 2021). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Erik Schlogl. | Is cited by:
| Cites to:
|
Main data
Where Erik Schlogl has published?
| Journals with more than one article published | # docs |
|---|---|
| International Journal of Theoretical and Applied Finance (IJTAF) | 3 |
| Applied Mathematical Finance | 2 |
| Journal of Futures Markets | 2 |
| Journal of Economic Dynamics and Control | 2 |
| Quantitative Finance | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney | 31 |
Recent works citing Erik Schlogl (2021 and 2020)
| Year | Title of citing document |
|---|---|
| 2020 | Smile Modelling in Commodity Markets. (2018). Pallavicini, Andrea ; Sartorelli, Giulio ; Nastasi, Emanuele. In: Papers. RePEc:arx:papers:1808.09685. Full description at Econpapers || Download paper |
| 2020 | Compact Finite Difference Scheme with Hermite Interpolation for Pricing American Put Options Based on Regime Switching Model. (2019). Liu, Ruihua ; Dai, Weizhong ; Nwankwo, Chinonso. In: Papers. RePEc:arx:papers:1908.04900. Full description at Econpapers || Download paper |
| 2020 | Non-asymptotic rates for the estimation of risk measures. (2020). Tangpi, Ludovic ; Bartl, Daniel. In: Papers. RePEc:arx:papers:2003.10479. Full description at Econpapers || Download paper |
| 2021 | Limits of random walks with distributionally robust transition probabilities. (2020). Eckstein, Stephan ; Bartl, Daniel ; Kupper, Michael. In: Papers. RePEc:arx:papers:2007.08815. Full description at Econpapers || Download paper |
| 2020 | The role of global economic policy uncertainty in predicting crude oil futures volatility: Evidence from a two-factor GARCH-MIDAS model. (2020). Zhou, Wei-Xing ; Xiong, Xiong ; Dai, Peng-Fei. In: Papers. RePEc:arx:papers:2007.12838. Full description at Econpapers || Download paper |
| 2021 | Multigrid Iterative Algorithms based on Compact Finite Difference Schemes and Hermite interpolation for Solving Regime Switching American Options. (2020). Dai, Weizhong ; Nwankwo, Chinonso. In: Papers. RePEc:arx:papers:2008.00925. Full description at Econpapers || Download paper |
| 2021 | Explicit RKF-Compact Scheme for Pricing Regime Switching American Options with Varying Time Step. (2020). Dai, Weizhong ; Nwankwo, Chinonso. In: Papers. RePEc:arx:papers:2012.09820. Full description at Econpapers || Download paper |
| 2021 | Short Rate Dynamics: A Fed Funds and SOFR perspective. (2021). Schlogl, Erik ; Gellert, Karol. In: Papers. RePEc:arx:papers:2101.04308. Full description at Econpapers || Download paper |
| 2021 | On the Parameter Estimation in the Schwartz-Smiths Two-Factor Model. (2021). Shevchenko, Pavel ; Kordzakhia, Nino ; Binkowski, Karol . In: Papers. RePEc:arx:papers:2108.01881. Full description at Econpapers || Download paper |
| 2020 | Economic determinants of oil futures volatility: A term structure perspective. (2020). Prokopczuk, Marcel ; Nikitopoulos-Sklibosios, Christina ; Kang, Boda. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300827. Full description at Econpapers || Download paper |
| 2021 | Terrorist attacks and oil prices: Hypothesis and empirical evidence. (2021). Gong, Qiang ; Narayan, Paresh Kumar ; Bach, Dinh Hoang. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000120. Full description at Econpapers || Download paper |
| 2021 | Moment-matching approximations for stochastic sums in non-Gaussian Ornstein–Uhlenbeck models. (2021). Fusai, Gianluca ; Kyriakou, Ioannis ; Brignone, Riccardo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:232-247. Full description at Econpapers || Download paper |
| 2020 | Global sensitivity analysis in high dimensions with PLS-PCE. (2020). Straub, Daniel ; Papaioannou, Iason ; Ehre, Max. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:198:y:2020:i:c:s0951832019314140. Full description at Econpapers || Download paper |
| 2020 | Jacobi Stochastic Volatility factor for the Libor Market Model. (2020). Boumezoued, Alexandre ; Lapeyre, Bernard ; Mehalla, Sophian ; Arrouy, Pierre-Edouard. In: Working Papers. RePEc:hal:wpaper:hal-02468583. Full description at Econpapers || Download paper |
| 2021 | Semivariance and semiskew risk premiums in currency markets. (2021). Dawui, Edem ; da Fonseca, Jose. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:3:p:290-324. Full description at Econpapers || Download paper |
| 2020 | Risky Financial Assets in Financial Integration and the Impacts of Derivatives on Banking Returns. (2020). Diner, Hasan ; Alhan, Mehmet Ali ; Pinarbai, Fatih ; Yuksel, Serhat. In: World Scientific Book Chapters. RePEc:wsi:wschap:9789811210242_0006. Full description at Econpapers || Download paper |
Works by Erik Schlogl:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2020 | A consistent stochastic model of the term structure of interest rates for multiple tenors In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 5 |
| 2017 | A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors.(2017) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
| 2013 | Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 12 |
| 2011 | Equity-linked pension schemes with guarantees In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 9 |
| 2010 | Equity-Linked Pension Schemes with Guarantees.(2010) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 2018 | Pricing of long-dated commodity derivatives: Do stochastic interest rates matter? In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 10 |
| 2021 | Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models In: Risks. [Full Text][Citation analysis] | article | 2 |
| 2018 | Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models.(2018) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2009 | Alternative Defaultable Term Structure Models In: Asia-Pacific Financial Markets. [Full Text][Citation analysis] | article | 0 |
| 2009 | Alternative Defaultable Term Structure Models.(2009) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2002 | A multicurrency extension of the lognormal interest rate Market Models In: Finance and Stochastics. [Full Text][Citation analysis] | article | 47 |
| 1999 | A Multicurrency Extension of the Lognormal Interest Rate Market Models.(1999) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 47 | paper | |
| 2007 | A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 0 |
| 2000 | A square root interest rate model fitting discrete initial term structure data In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 9 |
| 1999 | A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data.(1999) In: Research Paper Series. [Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 2013 | A hybrid commodity and interest rate market model In: Quantitative Finance. [Full Text][Citation analysis] | article | 6 |
| 2017 | Calibrating a market model with stochastic volatility to commodity and interest rate risk In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
| 2003 | The Risk Management of Minimum Return Guarantees In: Research Paper Series. [Full Text][Citation analysis] | paper | 6 |
| 2003 | The Risk Management of Minimum Return Guarantees.(2003) In: Bonn Econ Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
| 2003 | Correlating Market Models In: Research Paper Series. [Full Text][Citation analysis] | paper | 6 |
| 2004 | A Markovian Defaultable Term Structure Model with State Dependent Volatilities In: Research Paper Series. [Full Text][Citation analysis] | paper | 4 |
| 2007 | A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES.(2007) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
| 2005 | A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 1999 | Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives In: Research Paper Series. [Full Text][Citation analysis] | paper | 8 |
| 2007 | Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2009 | A Hybrid Commodity and Interest Rate In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2010 | Calibration of Multicurrency LIBOR Market Models In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets In: Research Paper Series. [Full Text][Citation analysis] | paper | 5 |
| 2014 | A Consistent Framework for Modelling Basis Spreads in Tenor Swaps In: Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
| 2015 | Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates In: Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
| 2016 | Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2016 | Pricing American Options under Regime Switching Using Method of Lines In: Research Paper Series. [Full Text][Citation analysis] | paper | 5 |
| 2016 | Calibrating Market Model to Commodity and Interest Rate Risk In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2016 | Hedging Futures Options with Stochastic Interest Rates In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2016 | Empirical Hedging Performance on Long-Dated Crude Oil Derivatives In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2018 | On Numerical Methods for Spread Options In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Model Risk Measurement Under Wasserstein Distance In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2019 | The Impact of Jumps on American Option Pricing: The S&P 100 Options Case In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2000 | Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model In: Research Paper Series. [Full Text][Citation analysis] | paper | 8 |
| 2001 | SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL.(2001) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | article | |
| 2019 | Term Rates, Multicurve Term Structures and Overnight Rate Benchmarks: A Roll-Over Risk Approach In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2021 | Short Rate Dynamics: A Fed Funds and SOFR Perspective In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2001 | Arbitrage-Free Interpolation in Models of Market Observable Interest Rates In: Research Paper Series. [Full Text][Citation analysis] | paper | 7 |
| 2002 | Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Interest rate risk in longâ€dated commodity options positions: To hedge or not to hedge? In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 0 |
| 2019 | Regime switching rough Heston model In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 2 |
| 2019 | ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2021. Contact: CitEc Team