Erik Schlogl : Citation Profile


Are you Erik Schlogl?

University of Technology Sydney

6

H index

1

i10 index

99

Citations

RESEARCH PRODUCTION:

10

Articles

26

Papers

RESEARCH ACTIVITY:

   19 years (1999 - 2018). See details.
   Cites by year: 5
   Journals where Erik Schlogl has often published
   Relations with other researchers
   Recent citing documents: 10.    Total self citations: 19 (16.1 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psc85
   Updated: 2018-09-15    RAS profile: 2018-08-20    
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Relations with other researchers


Works with:

Nikitopoulos-Sklibosios, Christina (5)

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

Is cited by:

Gnoatto, Alessandro (4)

Pelsser, Antoon (3)

Grzelak, Lech (3)

Pietersz, Raoul (3)

Witzany, Jiří (2)

Nikitopoulos-Sklibosios, Christina (2)

Chiarella, Carl (2)

chen, son-nan (1)

Fabozzi, Frank (1)

Sandmann, Klaus (1)

Joshi, Mark (1)

Cites to:

Nikitopoulos-Sklibosios, Christina (20)

Jarrow, Robert (19)

Chiarella, Carl (17)

Sandmann, Klaus (15)

Scholes, Myron (12)

Grzelak, Lech (10)

Cao, Charles (9)

Chen, Zhiwu (9)

White, Alan (8)

White, Alan (8)

Jamshidian, Farshid (7)

Main data


Where Erik Schlogl has published?


Journals with more than one article published# docs
International Journal of Theoretical and Applied Finance (IJTAF)2
Quantitative Finance2
Applied Mathematical Finance2

Working Papers Series with more than one paper published# docs
Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney26

Recent works citing Erik Schlogl (2018 and 2017)


YearTitle of citing document
2018Expansion formulas for European quanto options in a local volatility FX-LIBOR model. (2018). Hok, Julien ; Papapantoleon, Antonis ; Ngare, Philip. In: Papers. RePEc:arx:papers:1801.01205.

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2018Consistent Valuation Across Curves Using Pricing Kernels. (2018). Macrina, Andrea ; Mahomed, Obeid. In: Papers. RePEc:arx:papers:1801.04994.

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2018Arbitrage-Free Interpolation in Models of Market Observable Interest Rates. (2018). Schlogl, Erik. In: Papers. RePEc:arx:papers:1806.08107.

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2017The Impact of Minimum Return Guarantees on Management of Mandatory Pension Funds in Croatia. (2017). Matek, Petar ; Galic, Masa. In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:67:y:2017:i:4:p:342-369.

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2018Consistent Valuation Across Curves Using Pricing Kernels. (2018). Macrina, Andrea ; Mahomed, Obeid. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:1:p:18-:d:134969.

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2017Fast calibration of the Libor Market Model with Stochastic Volatility and Displaced Diffusion. (2017). Devineau, Laurent ; Boumezoued, Alexandre ; Bonnefoy, Paul ; Arrouy, Pierre-Edouard . In: Working Papers. RePEc:hal:wpaper:hal-01521491.

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2017The benefit of life insurance contracts with capped index participation when stock prices are subject to jump risk. (2017). Mahayni, Antje ; Muck, Matthias. In: Review of Derivatives Research. RePEc:kap:revdev:v:20:y:2017:i:3:d:10.1007_s11147-017-9131-9.

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2017Does swap-covered interest parity hold in long-term capital markets after the financial crisis?. (2017). Hattori, Takahiro . In: Discussion papers. RePEc:mof:wpaper:ron293.

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2017Analysing Cross-Currency Basis Spreads. (2017). Witzany, Jiří ; Baran, Jaroslav . In: Working Papers. RePEc:stm:wpaper:25.

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2017Pricing and Hedging of Long-Dated Commodity Derivatives. (2017). Chun, Benjamin Tin. In: PhD Thesis. RePEc:uts:finphd:37.

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Works by Erik Schlogl:


YearTitleTypeCited
2013Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order In: Journal of Economic Dynamics and Control.
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article9
2011Equity-linked pension schemes with guarantees In: Insurance: Mathematics and Economics.
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article6
2010Equity-Linked Pension Schemes with Guarantees.(2010) In: Research Paper Series.
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This paper has another version. Agregated cites: 6
paper
2009Alternative Defaultable Term Structure Models In: Asia-Pacific Financial Markets.
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article0
2009Alternative Defaultable Term Structure Models.(2009) In: Research Paper Series.
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This paper has another version. Agregated cites: 0
paper
2002A multicurrency extension of the lognormal interest rate Market Models In: Finance and Stochastics.
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article39
1999A Multicurrency Extension of the Lognormal Interest Rate Market Models.(1999) In: Research Paper Series.
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This paper has another version. Agregated cites: 39
paper
2007A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps In: Applied Mathematical Finance.
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article0
2000A square root interest rate model fitting discrete initial term structure data In: Applied Mathematical Finance.
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article6
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: 6
paper
2013A hybrid commodity and interest rate market model In: Quantitative Finance.
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article2
2017Calibrating a market model with stochastic volatility to commodity and interest rate risk In: Quantitative Finance.
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article0
2003The Risk Management of Minimum Return Guarantees In: Research Paper Series.
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paper4
2003Correlating Market Models In: Research Paper Series.
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paper6
2004A Markovian Defaultable Term Structure Model with State Dependent Volatilities In: Research Paper Series.
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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.
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paper0
1999Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives In: Research Paper Series.
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paper2
2007Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing In: Research Paper Series.
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paper0
2009A Hybrid Commodity and Interest Rate In: Research Paper Series.
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paper0
2010Calibration of Multicurrency LIBOR Market Models In: Research Paper Series.
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paper0
2012Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets In: Research Paper Series.
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paper2
2014A Consistent Framework for Modelling Basis Spreads in Tenor Swaps In: Research Paper Series.
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paper1
2015Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates In: Research Paper Series.
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paper1
2016Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? In: Research Paper Series.
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paper1
2016Pricing American Options under Regime Switching Using Method of Lines In: Research Paper Series.
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paper0
2016Calibrating Market Model to Commodity and Interest Rate Risk In: Research Paper Series.
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paper1
2016Hedging Futures Options with Stochastic Interest Rates In: Research Paper Series.
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paper1
2016Empirical Hedging Performance on Long-Dated Crude Oil Derivatives In: Research Paper Series.
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paper1
2017A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors In: Research Paper Series.
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paper1
2018On Numerical Methods for Spread Options In: Research Paper Series.
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paper0
2018Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation In: Research Paper Series.
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paper0
2000Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model In: Research Paper Series.
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paper7
2001SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL.(2001) In: International Journal of Theoretical and Applied Finance (IJTAF).
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This paper has another version. Agregated cites: 7
article
2001Arbitrage-Free Interpolation in Models of Market Observable Interest Rates In: Research Paper Series.
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paper5
2002Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices In: Research Paper Series.
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paper0

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