8
H index
5
i10 index
203
Citations
Erik Schlogl : Citation Profile
University of Technology Sydney | RESEARCH PRODUCTION: 21 Articles 38 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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25 years (1999 - 2024). 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 |
|---|---|
| Risks | 5 |
| Journal of Futures Markets | 3 |
| International Journal of Theoretical and Applied Finance (IJTAF) | 3 |
| Quantitative Finance | 2 |
| Applied Mathematical Finance | 2 |
| Journal of Economic Dynamics and Control | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney | 31 |
| Papers / arXiv.org | 6 |
Recent works citing Erik Schlogl (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Term 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 |
| 2023 | A 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. Full description at Econpapers || Download paper |
| 2024 | Target rate factors in short rate models. (2024). Harju, Antti J. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001560. Full description at Econpapers || Download paper |
| 2023 | The 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. Full description at Econpapers || Download paper |
| 2023 | Compact 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. Full description at Econpapers || Download paper |
| 2023 | A 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. Full description at Econpapers || Download paper |
| 2023 | A 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 |
| 2024 | Power?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. Full description at Econpapers || Download paper |
Works by Erik Schlogl:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2018 | Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Parameter Learning and Change Detection Using a Particle Filter with Accelerated Adaptation.(2021) In: Risks. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2018 | Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation.(2018) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2018 | Arbitrage-Free Interpolation in Models of Market Observable Interest Rates In: Papers. [Full Text][Citation analysis] | paper | 7 |
| 2001 | Arbitrage-Free Interpolation in Models of Market Observable Interest Rates.(2001) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2019 | Model Risk Measurement under Wasserstein Distance In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2018 | Model Risk Measurement Under Wasserstein Distance.(2018) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2018 | A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors In: Papers. [Full Text][Citation analysis] | paper | 12 |
| 2020 | A consistent stochastic model of the term structure of interest rates for multiple tenors.(2020) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
| 2017 | A 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 nother version. Agregated cites: 12 | paper | |
| 2018 | Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2021 | Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models.(2021) In: Risks. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2018 | Quantifying 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 nother version. Agregated cites: 3 | paper | |
| 2021 | Short Rate Dynamics: A Fed Funds and SOFR perspective In: Papers. [Full Text][Citation analysis] | paper | 8 |
| 2021 | Short Rate Dynamics: A Fed Funds and SOFR Perspective.(2021) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 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 | 12 |
| 2011 | Equity-linked pension schemes with guarantees In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 10 |
| 2010 | Equity-Linked Pension Schemes with Guarantees.(2010) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| 2018 | Pricing of long-dated commodity derivatives: Do stochastic interest rates matter? In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 13 |
| 2023 | Analysing Quantiles in Models of Forward Term Rates In: Risks. [Full Text][Citation analysis] | article | 0 |
| 2023 | A Hyperbolic Bid Stack Approach to Electricity Price Modelling In: Risks. [Full Text][Citation analysis] | article | 0 |
| 2024 | Modifying Sequential Monte Carlo Optimisation for Index Tracking to Allow for Transaction Costs In: Risks. [Full Text][Citation analysis] | article | 0 |
| 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 nother 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 | 47 |
| 1999 | A Multicurrency Extension of the Lognormal Interest Rate Market Models.(1999) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 47 | 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 | 9 |
| 1999 | A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data.(1999) In: Research Paper Series. [Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 2013 | A hybrid commodity and interest rate market model In: Quantitative Finance. [Full Text][Citation analysis] | article | 6 |
| 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 | 6 |
| 2003 | The Risk Management of Minimum Return Guarantees.(2003) In: Bonn Econ Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 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 nother 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 | 8 |
| 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 | 1 |
| 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 | 5 |
| 2014 | A Consistent Framework for Modelling Basis Spreads in Tenor Swaps In: Research Paper Series. [Full Text][Citation analysis] | paper | 4 |
| 2015 | Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates In: Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
| 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 | 2 |
| 2016 | Pricing American Options under Regime Switching Using Method of Lines In: Research Paper Series. [Full Text][Citation analysis] | paper | 9 |
| 2016 | Calibrating Market Model to Commodity and Interest Rate Risk In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2016 | Hedging Futures Options with Stochastic Interest Rates In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2016 | Empirical Hedging Performance on Long-Dated Crude Oil Derivatives In: Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
| 2018 | On Numerical Methods for Spread Options In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2019 | The Impact of Jumps on American Option Pricing: The S&P 100 Options Case 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 nother version. Agregated cites: 7 | article | |
| 2019 | Term Rates, Multicurve Term Structures and Overnight Rate Benchmarks: A Roll-Over Risk Approach In: Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
| 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 |
| 2019 | Interest rate risk in long‐dated commodity options positions: To hedge or not to hedge? In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 0 |
| 2019 | Regime switching rough Heston model In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 7 |
| 2024 | SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 0 |
| 2019 | ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 2 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team