Erik Schlogl : Citation Profile

Are you Erik Schlogl?

University of Technology Sydney

7

H index

2

i10 index

157

Citations

RESEARCH PRODUCTION:

15

Articles

31

Papers

RESEARCH ACTIVITY:

   21 years (1999 - 2020). See details.
   Cites by year: 7
   Journals where Erik Schlogl has often published
   Relations with other researchers
   Recent citing documents: 14.    Total self citations: 23 (12.78 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psc85
   Updated: 2020-09-14    RAS profile: 2020-08-16    
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Relations with other researchers

Works with:

Nikitopoulos-Sklibosios, Christina (8)

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 (4)

Gnoatto, Alessandro (4)

Pietersz, Raoul (4)

Pelsser, Antoon (3)

Grzelak, Lech (3)

Oosterlee, Cornelis (3)

Sandmann, Klaus (2)

Baran, Jaroslav (2)

Chiarella, Carl (2)

Arismendi Zambrano, Juan (2)

Witzany, Jiří (2)

Cites to:

Nikitopoulos-Sklibosios, Christina (28)

Chiarella, Carl (24)

Jarrow, Robert (22)

Chen, Zhiwu (16)

Cao, Charles (16)

Scholes, Myron (16)

Sandmann, Klaus (15)

Oosterlee, Cornelis (12)

Grzelak, Lech (12)

White, Alan (10)

Kang, Boda (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 Economic Dynamics and Control2
Journal of Futures Markets2
Applied Mathematical Finance2
Quantitative Finance2

Working Papers Series with more than one paper published# docs
Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney30

Recent works citing Erik Schlogl (2020 and 2019)

YearTitle of citing document
2020Smile Modelling in Commodity Markets. (2018). Pallavicini, Andrea ; Sartorelli, Giulio ; Nastasi, Emanuele. In: Papers. RePEc:arx:papers:1808.09685.

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2020Compact 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.

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

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2020Limits 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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2020The 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.

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2020Multigrid 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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2020Global 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.

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2019Modeling the Dependency between Extreme Prices of Selected Agricultural Products on the Derivatives Market Using the Linkage Function. (2019). Kapusta-Duch, Joanna ; Niemiec, Marcin ; Kubo, Maciej ; Sikora, Jakub ; Szelg-Sikora, Anna ; Kajrunajtys, Danuta ; Malik, Gabriela ; Grodek-Szostak, Zofia. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:15:p:4144-:d:253615.

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2020Jacobi 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.

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2019Adjustment to Risk Free Rate/ Violation of Put-Call Parity. (2019). Simozar, Saied. In: Applied Economics and Finance. RePEc:rfa:aefjnl:v:6:y:2019:i:6:p:80-96.

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2019Stochastic Modelling of New Phenomena in Financial Markets. (2019). Alfeus, Mesias. In: PhD Thesis. RePEc:uts:finphd:1-2019.

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2019Theory and Application of Model Risk Quantification. (2019). Feng, YU. In: PhD Thesis. RePEc:uts:finphd:3-2019.

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2019Solving Selected Problems on American Option Pricing with the Method of Lines. (2019). Taruvinga, Belssing. In: PhD Thesis. RePEc:uts:finphd:4-2019.

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2019Stochastic Modelling of New Phenomena in Financial Markets. (2019). Alfeus, Mesias. In: PhD Thesis. RePEc:uts:finphd:41.

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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]		article4
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: 4		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]		article8
2010Equity-Linked Pension Schemes with Guarantees.(2010) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
2018Pricing of long-dated commodity derivatives: Do stochastic interest rates matter? In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article5
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]		paper5
2003The Risk Management of Minimum Return Guarantees.(2003) In: Bonn Econ Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		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]		paper4
2014A Consistent Framework for Modelling Basis Spreads in Tenor Swaps In: Research Paper Series.
[Full Text][Citation analysis]		paper3
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]		paper4
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
2018Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation In: Research Paper Series.
[Full Text][Citation analysis]		paper0
2018Model Risk Measurement Under Wasserstein Distance In: Research Paper Series.
[Full Text][Citation analysis]		paper1
2018Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models 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]		paper0
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]		article2
2019ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article0

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