8
H index
7
i10 index
214
Citations
Erik Schlogl : Citation Profile
University of Technology Sydney | RESEARCH PRODUCTION: 23 Articles 39 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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26 years (1999 - 2025). 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 |
| International Journal of Theoretical and Applied Finance (IJTAF) | 4 |
| Journal of Futures Markets | 3 |
| Quantitative Finance | 3 |
| 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 | 7 |
Recent works citing Erik Schlogl (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2025 | Pricing and hedging of SOFR derivatives. (2025). Bickersteth, Matthew ; Rutkowski, Marek. In: Papers. RePEc:arx:papers:2112.14033. Full description at Econpapers || Download paper |
| 2024 | Cross-Currency Heath-Jarrow-Morton Framework in the Multiple-Curve Setting. (2024). Lavagnini, Silvia ; Gnoatto, Alessandro. In: Papers. RePEc:arx:papers:2312.13057. Full description at Econpapers || Download paper |
| 2025 | Cross-Currency Basis Swaps Referencing Backward-Looking Rates. (2024). Rutkowski, Marek ; Liu, Ruyi ; Ding, Yining. In: Papers. RePEc:arx:papers:2410.08477. Full description at Econpapers || Download paper |
| 2025 | Statistical modeling of SOFR term structure. (2025). Pennanen, Teemu ; Taoum, Waleed. In: Papers. RePEc:arx:papers:2508.02691. Full description at Econpapers || Download paper |
| 2025 | Short-rate models with stochastic discontinuities: a PDE approach. (2025). De Donno, Marzia ; Sanfelici, Simona ; Guardasoni, Chiara ; Calvia, Alessandro. In: Papers. RePEc:arx:papers:2510.04289. 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 |
| 2025 | Some bivariate options pricing in a regime-switching stochastic volatility jump-diffusion model with stochastic intensity, stochastic interest and dependent jump. (2025). Liu, Lixia ; Wang, Libin. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:229:y:2025:i:c:p:468-490. Full description at Econpapers || Download paper |
| 2024 | What drives jumps in the secured Overnight Financing Rate? Evidence from the arbitrage-free Nelson–Siegel model with jump diffusion. (2024). Yeh, Zong-Wei ; Lin, Shih-Kuei ; He, Jie-Cao ; Fang, Dong-Jie. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:86:y:2024:i:c:s0927538x24001434. Full description at Econpapers || Download paper |
| 2024 | Regime Tracking in Markets with Markov Switching. (2024). Borisov, Andrey. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:3:p:423-:d:1328156. Full description at Econpapers || Download paper |
| 2024 | Method of Lines for Valuation and Sensitivities of Bermudan Options. (2024). Murthy, Vasudeva ; Jain, Shashi ; Banerjee, Purba. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:1:d:10.1007_s10614-022-10339-2. Full description at Econpapers || Download paper |
| 2024 | Testing the Closed-Form Spread Option Pricing Formula Based on Gauss-Hermite Quadrature for a Jump-Diffusion Model. (2024). Chang, Emma En-Tze ; Miao, Daniel Wei-Chung ; Lin, Xenos Chang-Shuo. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:5:d:10.1007_s10614-023-10468-2. Full description at Econpapers || Download paper |
| 2025 | Modeling Euro Area Benchmark Rates After the End of LIBOR. (2025). Nicolosi, Marco ; Angelini, Flavio ; Herzel, Stefano. In: CEIS Research Paper. RePEc:rtv:ceisrp:613. Full description at Econpapers || Download paper |
| 2024 | Efficient adaptive strategies with fourth-order compact scheme for a fixed-free boundary regime-switching model. (2024). Dai, Weizhong ; Nwankwo, Chinonso I. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:47:y:2024:i:1:d:10.1007_s10203-023-00407-z. 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 | 11 |
| 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: 11 | paper | |
| 2025 | Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 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 | 15 |
| 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 |
| 2025 | Lost in the LIBOR transition 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 | 10 |
| 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 | 1 |
| 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 | 8 |
| 2024 | SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 2 |
| 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 |
| 2024 | TERM STRUCTURE MODELING OF SOFR: EVALUATING THE IMPORTANCE OF SCHEDULED JUMPS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 1 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated December, 22 2025. Contact: CitEc Team