8
H index
4
i10 index
188
Citations
University of Technology Sydney | 8 H index 4 i10 index 188 Citations RESEARCH PRODUCTION: 17 Articles 32 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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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: |
Journals with more than one article published | # docs |
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International Journal of Theoretical and Applied Finance (IJTAF) | 3 |
Journal of Futures Markets | 2 |
Applied Mathematical Finance | 2 |
Quantitative Finance | 2 |
Risks | 2 |
Journal of Economic Dynamics and Control | 2 |
Working Papers Series with more than one paper published | # docs |
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Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney | 31 |
Year | Title of citing document |
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2022 | Pricing of spread and exchange options in a rough jump-diffusion market. (2022). Hainaut, Donatien. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022012. Full description at Econpapers || Download paper |
2022 | 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 |
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 |
2022 | 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 |
2021 | On Modelling of Crude Oil Futures in a Bivariate State-Space Framework. (2021). Shevchenko, Pavel ; Kordzakhia, Nino ; Binkowski, Karol . In: Papers. RePEc:arx:papers:2108.01886. Full description at Econpapers || Download paper |
2021 | Method of lines for valuation and sensitivities of Bermudan options. (2021). Jain, Shashi ; Murthy, Vasudeva ; Banerjee, Purba. In: Papers. RePEc:arx:papers:2112.01287. Full description at Econpapers || Download paper |
2021 | Pricing and Hedging of SOFR Derivatives under Differential Funding Costs and Collateralization. (2021). Bickersteth, Matthew ; Rutkowski, Marek. In: Papers. RePEc:arx:papers:2112.14033. Full description at Econpapers || Download paper |
2022 | Decomposing LIBOR in Transition: Evidence from the Futures Markets. (2022). Skov, Jacob Bjerre ; Skovmand, David. In: Papers. RePEc:arx:papers:2201.06930. Full description at Econpapers || Download paper |
2022 | Term structure modelling with overnight rates beyond stochastic continuity. (2022). Schmidt, Thorsten ; Grbac, Zorana ; Fontana, Claudio. In: Papers. RePEc:arx:papers:2202.00929. Full description at Econpapers || Download paper |
2022 | Modelling high frequency crude oil dynamics using affine and non-affine jump–diffusion models. (2022). Wong, Patrick ; Ignatieva, Katja. In: Energy Economics. RePEc:eee:eneeco:v:108:y:2022:i:c:s0140988322000561. 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 |
2022 | Does the swap-covered interest parity still hold in long-term capital markets after the financial crisis? Evidence from cross-currency basis swaps. (2022). Hattori, Takahiro. In: International Review of Economics & Finance. RePEc:eee:reveco:v:79:y:2022:i:c:p:224-240. Full description at Econpapers || Download paper |
2022 | Does the SDR stabilize investing in commodities?. (2022). Xu, Yang ; Han, Liyan ; Jin, Jiayu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:81:y:2022:i:c:p:160-172. Full description at Econpapers || Download paper |
2022 | Inhomogeneous affine Volterra processes. (2022). Ackermann, Julia ; Overbeck, Ludger ; Kruse, Thomas. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:150:y:2022:i:c:p:250-279. Full description at Econpapers || Download paper |
2022 | . Full description at Econpapers || Download paper |
2022 | Market and model risks: a feasible joint estimate methodology. (2022). Segovia, Ana I ; Ibaez, Eva M ; Gonzalez-Sanchez, Mariano. In: Risk Management. RePEc:pal:risman:v:24:y:2022:i:3:d:10.1057_s41283-022-00090-1. Full description at Econpapers || Download paper |
2021 | Minimum return rate guarantees under default risk: optimal design of quantile guarantees. (2021). Offermann, Sascha ; Lubos, Oliver ; Mahayni, Antje. In: Review of Managerial Science. RePEc:spr:rvmgts:v:15:y:2021:i:7:d:10.1007_s11846-020-00410-3. Full description at Econpapers || Download paper |
2021 | Discrete variance swap in a rough volatility economy. (2021). Wong, Hoi Ying ; Ru, YI. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:10:p:1640-1654. 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 |
2022 | Power?type derivatives for rough volatility with jumps. (2022). Xia, Weixuan ; Wang, Liang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:7:p:1369-1406. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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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 | 8 |
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: 8 | 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 | 10 |
2010 | Equity-Linked Pension Schemes with Guarantees.(2010) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
2018 | Pricing of long-dated commodity derivatives: Do stochastic interest rates matter? In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 13 |
2021 | Parameter Learning and Change Detection Using a Particle Filter with Accelerated Adaptation In: Risks. [Full Text][Citation analysis] | article | 0 |
2018 | Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation.(2018) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2021 | Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models In: Risks. [Full Text][Citation analysis] | article | 3 |
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: 3 | 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 | 4 |
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 | 6 |
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 | Model Risk Measurement Under Wasserstein Distance In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
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 | 2 |
2021 | Short Rate Dynamics: A Fed Funds and SOFR Perspective In: Research Paper Series. [Full Text][Citation analysis] | paper | 4 |
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 long?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 | 5 |
2019 | ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 1 |
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