Erik Schlogl : Citation Profile


Are you Erik Schlogl?

University of Technology Sydney

7

H index

5

i10 index

195

Citations

RESEARCH PRODUCTION:

19

Articles

38

Papers

RESEARCH ACTIVITY:

   24 years (1999 - 2023). See details.
   Cites by year: 8
   Journals where Erik Schlogl has often published
   Relations with other researchers
   Recent citing documents: 6.    Total self citations: 29 (12.95 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psc85
   Updated: 2024-01-16    RAS profile: 2023-09-18    
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Relations with other researchers


Works with:

Nikitopoulos-Sklibosios, Christina (2)

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 (6)

Gnoatto, Alessandro (4)

Pietersz, Raoul (4)

Pelsser, Antoon (3)

Oosterlee, Cornelis (3)

Grzelak, Lech (3)

Arismendi Zambrano, Juan (2)

DA FONSECA, José (2)

Chen, An (2)

Prokopczuk, Marcel (2)

Pallavicini, Andrea (2)

Cites to:

Nikitopoulos-Sklibosios, Christina (29)

Jarrow, Robert (26)

Sandmann, Klaus (17)

Cao, Charles (16)

Chen, Zhiwu (16)

Scholes, Myron (16)

Grzelak, Lech (12)

Oosterlee, Cornelis (12)

White, Alan (11)

Duffie, Darrell (10)

Kang, Boda (10)

Main data


Where Erik Schlogl has published?


Journals with more than one article published# docs
Risks4
International Journal of Theoretical and Applied Finance (IJTAF)3
Journal of Futures Markets2
Journal of Economic Dynamics and Control2
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, Sydney31
Papers / arXiv.org6

Recent works citing Erik Schlogl (2024 and 2023)


YearTitle of citing document
2023Term 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

2023A stochastic control perspective on term structure models with roll-over risk. (2023). Runggaldier, Wolfgang J ; Pavarana, Simone ; Fontana, Claudio. In: Papers. RePEc:arx:papers:2304.04453.

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2023The economic impact of daily volatility persistence on energy markets. (2023). Wang, Jianxin ; Thomas, Alice Carole ; Nikitopoulos, Christina Sklibosios. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000423.

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2023Compact Finite Difference Scheme with Hermite Interpolation for Pricing American Put Options Based on Regime Switching Model. (2023). Dai, Weizhong ; Nwankwo, Chinonso I ; Liu, Ruihua. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:3:d:10.1007_s10614-022-10282-2.

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2023A novel stochastic modeling framework for coal production and logistics through options pricing analysis. (2023). Collins, James ; Alfeus, Mesias. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00440-8.

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2023A stochastic control perspective on term structure models with roll-over risk. (2023). Pavarana, Simone ; Fontana, Claudio ; Runggaldier, Wolfgang J. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:4:d:10.1007_s00780-023-00515-z.

Full description at Econpapers || Download paper

Works by Erik Schlogl:


YearTitleTypeCited
2018Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation In: Papers.
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paper0
2021Parameter Learning and Change Detection Using a Particle Filter with Accelerated Adaptation.(2021) In: Risks.
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This paper has nother version. Agregated cites: 0
article
2018Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation.(2018) In: Research Paper Series.
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This paper has nother version. Agregated cites: 0
paper
2018Arbitrage-Free Interpolation in Models of Market Observable Interest Rates In: Papers.
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paper7
2001Arbitrage-Free Interpolation in Models of Market Observable Interest Rates.(2001) In: Research Paper Series.
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This paper has nother version. Agregated cites: 7
paper
2019Model Risk Measurement under Wasserstein Distance In: Papers.
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paper2
2018Model Risk Measurement Under Wasserstein Distance.(2018) In: Research Paper Series.
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This paper has nother version. Agregated cites: 2
paper
2018A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors In: Papers.
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paper12
2020A consistent stochastic model of the term structure of interest rates for multiple tenors.(2020) In: Journal of Economic Dynamics and Control.
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This paper has nother version. Agregated cites: 12
article
2017A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors.(2017) In: Research Paper Series.
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This paper has nother version. Agregated cites: 12
paper
2018Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models In: Papers.
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paper3
2021Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models.(2021) In: Risks.
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This paper has nother version. Agregated cites: 3
article
2018Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models.(2018) In: Research Paper Series.
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This paper has nother version. Agregated cites: 3
paper
2021Short Rate Dynamics: A Fed Funds and SOFR perspective In: Papers.
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paper5
2021Short Rate Dynamics: A Fed Funds and SOFR Perspective.(2021) In: Research Paper Series.
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This paper has nother version. Agregated cites: 5
paper
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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article12
2011Equity-linked pension schemes with guarantees In: Insurance: Mathematics and Economics.
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article10
2010Equity-Linked Pension Schemes with Guarantees.(2010) In: Research Paper Series.
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This paper has nother version. Agregated cites: 10
paper
2018Pricing of long-dated commodity derivatives: Do stochastic interest rates matter? In: Journal of Banking & Finance.
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article13
2023Analysing Quantiles in Models of Forward Term Rates In: Risks.
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article0
2023A Hyperbolic Bid Stack Approach to Electricity Price Modelling In: Risks.
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article0
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 nother version. Agregated cites: 0
paper
2002A multicurrency extension of the lognormal interest rate Market Models In: Finance and Stochastics.
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article47
1999A Multicurrency Extension of the Lognormal Interest Rate Market Models.(1999) In: Research Paper Series.
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This paper has nother version. Agregated cites: 47
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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article9
1999A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data.(1999) In: Research Paper Series.
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This paper has nother version. Agregated cites: 9
paper
2013A hybrid commodity and interest rate market model In: Quantitative Finance.
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article6
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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paper6
2003The Risk Management of Minimum Return Guarantees.(2003) In: Bonn Econ Discussion Papers.
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This paper has nother version. Agregated cites: 6
paper
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).
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This paper has nother 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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paper8
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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paper1
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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paper5
2014A Consistent Framework for Modelling Basis Spreads in Tenor Swaps In: Research Paper Series.
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paper4
2015Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates In: Research Paper Series.
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paper3
2016Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? In: Research Paper Series.
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paper2
2016Pricing American Options under Regime Switching Using Method of Lines In: Research Paper Series.
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paper7
2016Calibrating Market Model to Commodity and Interest Rate Risk In: Research Paper Series.
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paper2
2016Hedging Futures Options with Stochastic Interest Rates In: Research Paper Series.
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paper2
2016Empirical Hedging Performance on Long-Dated Crude Oil Derivatives In: Research Paper Series.
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paper2
2018On Numerical Methods for Spread Options In: Research Paper Series.
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paper0
2019The Impact of Jumps on American Option Pricing: The S&P 100 Options Case 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 nother version. Agregated cites: 7
article
2019Term Rates, Multicurve Term Structures and Overnight Rate Benchmarks: A Roll-Over Risk Approach In: Research Paper Series.
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paper2
2002Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices In: Research Paper Series.
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paper0
2019Interest rate risk in long?dated commodity options positions: To hedge or not to hedge? In: Journal of Futures Markets.
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article0
2019Regime switching rough Heston model In: Journal of Futures Markets.
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article6
2019ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM In: International Journal of Theoretical and Applied Finance (IJTAF).
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article2

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