6
H index
1
i10 index
100
Citations
Erik Schlogl : Citation Profile
University of Technology Sydney | RESEARCH PRODUCTION: 10 Articles 26 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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19 years (1999 - 2018). 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:
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Main data
Where Erik Schlogl has published?
| Journals with more than one article published | # docs |
|---|---|
| Applied Mathematical Finance | 2 |
| International Journal of Theoretical and Applied Finance (IJTAF) | 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 | 26 |
Recent works citing Erik Schlogl (2018 and 2017)
| Year | Title of citing document |
|---|---|
| 2018 | Expansion 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. Full description at Econpapers || Download paper |
| 2018 | Consistent Valuation Across Curves Using Pricing Kernels. (2018). Macrina, Andrea ; Mahomed, Obeid. In: Papers. RePEc:arx:papers:1801.04994. Full description at Econpapers || Download paper |
| 2018 | Arbitrage-Free Interpolation in Models of Market Observable Interest Rates. (2018). Schlogl, Erik. In: Papers. RePEc:arx:papers:1806.08107. Full description at Econpapers || Download paper |
| 2017 | The 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. Full description at Econpapers || Download paper |
| 2018 | Consistent 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. Full description at Econpapers || Download paper |
| 2017 | Fast 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. Full description at Econpapers || Download paper |
| 2017 | The 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. Full description at Econpapers || Download paper |
| 2017 | Does swap-covered interest parity hold in long-term capital markets after the financial crisis?. (2017). Hattori, Takahiro . In: Discussion papers. RePEc:mof:wpaper:ron293. Full description at Econpapers || Download paper |
| 2017 | Analysing Cross-Currency Basis Spreads. (2017). Witzany, Jiří ; Baran, Jaroslav . In: Working Papers. RePEc:stm:wpaper:25. Full description at Econpapers || Download paper |
| 2017 | Pricing and Hedging of Long-Dated Commodity Derivatives. (2017). Chun, Benjamin Tin. In: PhD Thesis. RePEc:uts:finphd:37. Full description at Econpapers || Download paper |
| 2018 | Pricing American Options with Jumps in Asset and Volatility. (2018). Taruvinga, Blessing ; Nikitopoulos, Christina Sklibosios ; Kang, Boda. In: Research Paper Series. RePEc:uts:rpaper:394. Full description at Econpapers || Download paper |
Works by Erik Schlogl:
| Year | Title | Type | Cited |
|---|---|---|---|
| 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 | 9 |
| 2011 | Equity-linked pension schemes with guarantees In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 6 |
| 2010 | Equity-Linked Pension Schemes with Guarantees.(2010) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | 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 | 39 |
| 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: 39 | 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 | 6 |
| 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: 6 | paper | |
| 2013 | A hybrid commodity and interest rate market model In: Quantitative Finance. [Full Text][Citation analysis] | article | 2 |
| 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 | 4 |
| 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 | 2 |
| 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 | 0 |
| 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 | 2 |
| 2014 | A Consistent Framework for Modelling Basis Spreads in Tenor Swaps In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2015 | Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 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 | 1 |
| 2016 | Pricing American Options under Regime Switching Using Method of Lines In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2016 | Calibrating Market Model to Commodity and Interest Rate Risk In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2016 | Hedging Futures Options with Stochastic Interest Rates In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2016 | Empirical Hedging Performance on Long-Dated Crude Oil Derivatives In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2017 | A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 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 |
| 2000 | Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model In: Research Paper Series. [Full Text][Citation analysis] | paper | 7 |
| 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: 7 | article | |
| 2001 | Arbitrage-Free Interpolation in Models of Market Observable Interest Rates In: Research Paper Series. [Full Text][Citation analysis] | paper | 5 |
| 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 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 2th 2018. Contact: CitEc Team