Erik Schlogl : Citation Profile

Are you Erik Schlogl?

University of Technology Sydney

8

H index

4

i10 index

188

Citations

RESEARCH PRODUCTION:

17

Articles

32

Papers

RESEARCH ACTIVITY:

   22 years (1999 - 2021). See details.
   Cites by year: 8
   Journals where Erik Schlogl has often published
   Relations with other researchers
   Recent citing documents: 24.    Total self citations: 26 (12.15 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psc85
   Updated: 2023-01-28    RAS profile: 2021-12-20    
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Relations with other researchers

Works with:

Nikitopoulos-Sklibosios, Christina (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Erik Schlogl.

Is cited by:

Nikitopoulos-Sklibosios, Christina (5)

Gnoatto, Alessandro (4)

Pietersz, Raoul (4)

Oosterlee, Cornelis (3)

Grzelak, Lech (3)

Pelsser, Antoon (3)

Pallavicini, Andrea (2)

Baran, Jaroslav (2)

Chiarella, Carl (2)

Chen, An (2)

DA FONSECA, José (2)

Cites to:

Nikitopoulos-Sklibosios, Christina (29)

Jarrow, Robert (24)

Chiarella, Carl (24)

Cao, Charles (16)

Chen, Zhiwu (16)

Scholes, Myron (16)

Sandmann, Klaus (15)

Oosterlee, Cornelis (12)

Grzelak, Lech (12)

White, Alan (11)

White, Alan (10)

Main data

Where Erik Schlogl has published?

Journals with more than one article published# docs
International Journal of Theoretical and Applied Finance (IJTAF)3
Journal of Futures Markets2
Applied Mathematical Finance2
Quantitative Finance2
Risks2
Journal of Economic Dynamics and Control2

Working Papers Series with more than one paper published# docs
Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney31

Recent works citing Erik Schlogl (2022 and 2021)

YearTitle of citing document
2022Pricing of spread and exchange options in a rough jump-diffusion market. (2022). Hainaut, Donatien. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022012.

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2022Non-asymptotic rates for the estimation of risk measures. (2020). Tangpi, Ludovic ; Bartl, Daniel. In: Papers. RePEc:arx:papers:2003.10479.

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2021Limits of random walks with distributionally robust transition probabilities. (2020). Eckstein, Stephan ; Bartl, Daniel ; Kupper, Michael. In: Papers. RePEc:arx:papers:2007.08815.

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2021Multigrid 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.

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2022Explicit 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.

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2021Short Rate Dynamics: A Fed Funds and SOFR perspective. (2021). Schlogl, Erik ; Gellert, Karol. In: Papers. RePEc:arx:papers:2101.04308.

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2021On the Parameter Estimation in the Schwartz-Smiths Two-Factor Model. (2021). Shevchenko, Pavel ; Kordzakhia, Nino ; Binkowski, Karol . In: Papers. RePEc:arx:papers:2108.01881.

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2021On 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.

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2021Method of lines for valuation and sensitivities of Bermudan options. (2021). Jain, Shashi ; Murthy, Vasudeva ; Banerjee, Purba. In: Papers. RePEc:arx:papers:2112.01287.

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2021Pricing and Hedging of SOFR Derivatives under Differential Funding Costs and Collateralization. (2021). Bickersteth, Matthew ; Rutkowski, Marek. In: Papers. RePEc:arx:papers:2112.14033.

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2022Decomposing LIBOR in Transition: Evidence from the Futures Markets. (2022). Skov, Jacob Bjerre ; Skovmand, David. In: Papers. RePEc:arx:papers:2201.06930.

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2022Term structure modelling with overnight rates beyond stochastic continuity. (2022). Schmidt, Thorsten ; Grbac, Zorana ; Fontana, Claudio. In: Papers. RePEc:arx:papers:2202.00929.

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2022Modelling 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.

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2021Terrorist 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.

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2021Moment-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.

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2022Does 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.

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2022Does 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.

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2022Inhomogeneous 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.

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2022.

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2022Market 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.

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2021Minimum 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.

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2021Discrete 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.

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2021Semivariance 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.

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2022Power?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.

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Works by Erik Schlogl:

YearTitleTypeCited
2020A consistent stochastic model of the term structure of interest rates for multiple tenors In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article8
2017A 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
2013Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article12
2011Equity-linked pension schemes with guarantees In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article10
2010Equity-Linked Pension Schemes with Guarantees.(2010) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		paper
2018Pricing of long-dated commodity derivatives: Do stochastic interest rates matter? In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article13
2021Parameter Learning and Change Detection Using a Particle Filter with Accelerated Adaptation In: Risks.
[Full Text][Citation analysis]		article0
2018Parameter 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
2021Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models In: Risks.
[Full Text][Citation analysis]		article3
2018Quantifying 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
2009Alternative Defaultable Term Structure Models In: Asia-Pacific Financial Markets.
[Full Text][Citation analysis]		article0
2009Alternative Defaultable Term Structure Models.(2009) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2002A multicurrency extension of the lognormal interest rate Market Models In: Finance and Stochastics.
[Full Text][Citation analysis]		article47
1999A 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
2007A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article0
2000A square root interest rate model fitting discrete initial term structure data In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article9
1999A 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
2013A hybrid commodity and interest rate market model In: Quantitative Finance.
[Full Text][Citation analysis]		article6
2017Calibrating a market model with stochastic volatility to commodity and interest rate risk In: Quantitative Finance.
[Full Text][Citation analysis]		article0
2003The Risk Management of Minimum Return Guarantees In: Research Paper Series.
[Full Text][Citation analysis]		paper6
2003The 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
2003Correlating Market Models In: Research Paper Series.
[Full Text][Citation analysis]		paper6
2004A Markovian Defaultable Term Structure Model with State Dependent Volatilities In: Research Paper Series.
[Full Text][Citation analysis]		paper4
2007A 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
2005A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps In: Research Paper Series.
[Full Text][Citation analysis]		paper0
1999Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives In: Research Paper Series.
[Full Text][Citation analysis]		paper8
2007Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing In: Research Paper Series.
[Full Text][Citation analysis]		paper0
2009A Hybrid Commodity and Interest Rate In: Research Paper Series.
[Full Text][Citation analysis]		paper1
2010Calibration of Multicurrency LIBOR Market Models In: Research Paper Series.
[Full Text][Citation analysis]		paper0
2012Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets In: Research Paper Series.
[Full Text][Citation analysis]		paper5
2014A Consistent Framework for Modelling Basis Spreads in Tenor Swaps In: Research Paper Series.
[Full Text][Citation analysis]		paper4
2015Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates In: Research Paper Series.
[Full Text][Citation analysis]		paper3
2016Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? In: Research Paper Series.
[Full Text][Citation analysis]		paper2
2016Pricing American Options under Regime Switching Using Method of Lines In: Research Paper Series.
[Full Text][Citation analysis]		paper6
2016Calibrating Market Model to Commodity and Interest Rate Risk In: Research Paper Series.
[Full Text][Citation analysis]		paper2
2016Hedging Futures Options with Stochastic Interest Rates In: Research Paper Series.
[Full Text][Citation analysis]		paper2
2016Empirical Hedging Performance on Long-Dated Crude Oil Derivatives In: Research Paper Series.
[Full Text][Citation analysis]		paper2
2018On Numerical Methods for Spread Options In: Research Paper Series.
[Full Text][Citation analysis]		paper0
2018Model Risk Measurement Under Wasserstein Distance In: Research Paper Series.
[Full Text][Citation analysis]		paper2
2019The Impact of Jumps on American Option Pricing: The S&P 100 Options Case In: Research Paper Series.
[Full Text][Citation analysis]		paper0
2000Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model In: Research Paper Series.
[Full Text][Citation analysis]		paper8
2001SIMULATED 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
2019Term Rates, Multicurve Term Structures and Overnight Rate Benchmarks: A Roll-Over Risk Approach In: Research Paper Series.
[Full Text][Citation analysis]		paper2
2021Short Rate Dynamics: A Fed Funds and SOFR Perspective In: Research Paper Series.
[Full Text][Citation analysis]		paper4
2001Arbitrage-Free Interpolation in Models of Market Observable Interest Rates In: Research Paper Series.
[Full Text][Citation analysis]		paper7
2002Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices In: Research Paper Series.
[Full Text][Citation analysis]		paper0
2019Interest rate risk in long?dated commodity options positions: To hedge or not to hedge? In: Journal of Futures Markets.
[Full Text][Citation analysis]		article0
2019Regime switching rough Heston model In: Journal of Futures Markets.
[Full Text][Citation analysis]		article5
2019ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article1

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