| A multicurrency extension of the lognormal interest rate market models E Schlögl Finance and Stochastics 6, 173-196, 2002 | 102 | 2002 |
| Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order E Schlögl Journal of Economic Dynamics and Control 37 (3), 611-632, 2013 | 47 | 2013 |
| Pricing of long-dated commodity derivatives: Do stochastic interest rates matter? B Cheng, CS Nikitopoulos, E Schlögl Journal of Banking & finance 95, 148-166, 2018 | 39* | 2018 |
| Arbitrage-free interpolation in models of market observable interest rates E Schlögl Advances in Finance and Stochastics: Essays in Honour of Dieter Sondermann …, 2002 | 37 | 2002 |
| Robustness of Gaussian hedges and the hedging of fixed income derivatives A Dudenhausen, E Schlögl, L Schlögl School of Finance and Economics, University of Technology, Sydney, 1999 | 33* | 1999 |
| A consistent stochastic model of the term structure of interest rates for multiple tenors M Alfeus, M Grasselli, E Schlögl Journal of Economic Dynamics and Control 114, 103861, 2020 | 28 | 2020 |
| Factor models and the shape of the term structure E Schlögl, D Sommer Available at SSRN 1145, 1997 | 28 | 1997 |
| Simulated swaption delta–hedging in the lognormal forward libor model T Dun, G Barton, E Schlögl International Journal of Theoretical and Applied Finance 4 (04), 677-709, 2001 | 25 | 2001 |
| On spread option pricing using two-dimensional Fourier transform M Alfeus, E Schlögl International Journal of Theoretical and Applied Finance 22 (05), 1950023, 2019 | 24* | 2019 |
| Correlating market models B Choy, T Dun, E Schlögl Available at SSRN 395640, 2003 | 24 | 2003 |
| Short rate dynamics: A fed funds and sofr perspective K Gellert, E Schlögl arXiv preprint arXiv:2101.04308, 2021 | 23 | 2021 |
| A hybrid commodity and interest rate market model KF Pilz, E Schlögl Commodities, 469-496, 2022 | 19 | 2022 |
| Term rates, multicurve term structures and overnight rate benchmarks: A roll-over risk approach A Backwell, A Macrina, E Schlögl, D Skovmand Frontiers of Mathematical Finance, 2019 | 17 | 2019 |
| Equity-linked pension schemes with guarantees JA Nielsen, K Sandmann, E Schlögl Insurance: Mathematics and Economics 49 (3), 547-564, 2011 | 17 | 2011 |
| The risk management of minimum return guarantees A Mahayni, E Schlögl BuR Business Research Journal 1 (1), 2008 | 17* | 2008 |
| Regime switching rough Heston model M Alfeus, L Overbeck, E Schlögl Journal of Futures Markets 39 (5), 538-552, 2019 | 16 | 2019 |
| A square root interest rate model fitting discrete initial term structure data E Schlögl, L Schlögl Applied Mathematical Finance 7 (3), 183-209, 2000 | 16 | 2000 |
| A simulation algorithm based on measure relationships in the lognormal market models A Brace, M Musiela, E Schlögl Preprint, 1998 | 15 | 1998 |
| Pricing American options under regime switching using method of lines C Chiarella, C Sklibosios Nikitopoulos, E Schlögl, H Yang Available at SSRN 2731087, 2016 | 14 | 2016 |
| Model risk measurement under wasserstein distance Y Feng, E Schlögl arXiv preprint arXiv:1809.03641, 2018 | 13 | 2018 |
Carl ChiarellaProfessor of Quantitative FinanceVerified email at uts.edu.au
