Erik Schlögl
Erik Schlögl
Professor, School of Mathematical and Physical Sciences, University of Technology Sydney
Verified email at uts.edu.au - Homepage
Title
Cited by
Cited by
Year
A multicurrency extension of the lognormal interest rate market models
E Schlögl
Finance and Stochastics 6 (2), 173-196, 2002
892002
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
31*1999
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
282013
Arbitrage-free interpolation in models of market observable interest rates
E Schlögl
Advances in Finance and Stochastics, 197-218, 2002
282002
Factor models and the shape of the term structure
E Schlögl, D Sommer
Available at SSRN 1145, 1997
271997
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
22*2018
Correlating market models
B Choy, T Dun, E Schlögl
Available at SSRN 395640, 2003
212003
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
202001
Equity-linked pension schemes with guarantees
JA Nielsen, K Sandmann, E Schlögl
Insurance: Mathematics and Economics 49 (3), 547-564, 2011
172011
A square root interest rate model fitting discrete initial term structure data
E Schlögl, L Schlögl
Applied Mathematical Finance 7 (3), 183-209, 2000
162000
The risk management of minimum return guarantees
A Mahayni, E Schlögl
BuR Business Research Journal 1 (1), 2008
15*2008
A hybrid commodity and interest rate market model
KF Pilz, E Schlögl
Quantitative Finance 13 (4), 543-560, 2013
142013
A simulation algorithm based on measure relationships in the lognormal market models
A Brace, M Musiela, E Schlögl
Preprint, 1998
131998
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
122020
A Markovian defaultable term structure model with state dependent volatilities
C Chiarella, C NIKITOPOULOS SKLIBOSIOS, E Schlögl
International Journal of Theoretical and Applied Finance 10 (01), 155-202, 2007
92007
Carry trade and liquidity risk: evidence from forward and cross-currency swap markets
Y Chang, E Schlögl
Available at SSRN 2137444, 2012
82012
Pricing American options under regime switching using method of lines
C Chiarella, C Sklibosios Nikitopoulos, E Schlögl, H Yang
Available at SSRN 2731087, 2016
72016
A consistent framework for modelling basis spreads in tenor swaps
Y Chang, E Schlögl
Available at SSRN 2433829, 2015
72015
Pricing of long-dated commodity derivatives with stochastic volatility and stochastic interest rates
B Cheng, C Sklibosios Nikitopoulos, E Schlögl
Available at SSRN 2712025, 2016
52016
Model risk measurement under wasserstein distance
Y Feng, E Schlögl
arXiv preprint arXiv:1809.03641, 2018
42018
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