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Erik Schlogl

Personal Details

First Name:Erik
Middle Name:
Last Name:Schlogl
Suffix:
RePEc Short-ID:psc85
[This author has chosen not to make the email address public]
http://www.schlogl.com
School of Mathematical and Physical Sciences University of Technology, Sydney PO Box 123 Broadway NSW 2007 Australia
+61 2 9514 2535
Terminal Degree:1997 Wirtschaftswissenschaftlicher Fachbereich; Rheinische Friedrich-Wilhelms-Universität Bonn (from RePEc Genealogy)

Affiliation

Finance Discipline Group
Business School
University of Technology Sydney

Sydney, Australia
http://www.business.uts.edu.au/finance/
RePEc:edi:sfutsau (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Karol Gellert & Erik Schlogl, 2021. "Short Rate Dynamics: A Fed Funds and SOFR perspective," Papers 2101.04308, arXiv.org.
  2. Alex Backwell & Andrea Macrina & Erik Schlogl & David Skovmand, 2019. "Term Rates, Multicurve Term Structures and Overnight Rate Benchmarks: A Roll-Over Risk Approach," Research Paper Series 400, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Boda Kang & Christina Nikitopoulos Sklibosios & Erik Schlogl & Blessing Taruvinga, 2019. "The Impact of Jumps on American Option Pricing: The S&P 100 Options Case," Research Paper Series 397, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. Yu Feng & Ralph Rudd & Christopher Baker & Qaphela Mashalaba & Melusi Mavuso & Erik Schlogl, 2018. "Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models," Papers 1810.09112, arXiv.org.
  5. Mesias Alfeus & Martino Grasselli & Erik Schlogl, 2018. "A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors," Papers 1809.06643, arXiv.org.
  6. Yu Feng & Erik Schlogl, 2018. "Model Risk Measurement under Wasserstein Distance," Papers 1809.03641, arXiv.org, revised Mar 2019.
  7. Mesias Alfeus & Erik Schlögl, 2018. "On Numerical Methods for Spread Options," Research Paper Series 388, Quantitative Finance Research Centre, University of Technology, Sydney.
  8. Erik Schlogl, 2018. "Arbitrage-Free Interpolation in Models of Market Observable Interest Rates," Papers 1806.08107, arXiv.org.
  9. Karol Gellert & Erik Schlogl, 2018. "Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation," Papers 1806.05387, arXiv.org.
  10. Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2016. "Empirical Hedging Performance on Long-Dated Crude Oil Derivatives," Research Paper Series 376, Quantitative Finance Research Centre, University of Technology, Sydney.
  11. Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2016. "Hedging Futures Options with Stochastic Interest Rates," Research Paper Series 375, Quantitative Finance Research Centre, University of Technology, Sydney.
  12. Patrik Karlsson & Kay F Pilz & Erik Schlogl, 2016. "Calibrating Market Model to Commodity and Interest Rate Risk," Research Paper Series 372, Quantitative Finance Research Centre, University of Technology, Sydney.
  13. Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2016. "Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter?," Research Paper Series 367, Quantitative Finance Research Centre, University of Technology, Sydney.
  14. Carl Chiarella & Christina Nikitopoulos-Sklibosios & Erik Schlogl & Hongang Yang, 2016. "Pricing American Options under Regime Switching Using Method of Lines," Research Paper Series 368, Quantitative Finance Research Centre, University of Technology, Sydney.
  15. Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2015. "Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates," Research Paper Series 366, Quantitative Finance Research Centre, University of Technology, Sydney.
  16. Yang Chang & Erik Schlogl, 2014. "A Consistent Framework for Modelling Basis Spreads in Tenor Swaps," Research Paper Series 348, Quantitative Finance Research Centre, University of Technology, Sydney.
  17. Erik Schlogl & Yang Chang, 2012. "Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets," Research Paper Series 310, Quantitative Finance Research Centre, University of Technology, Sydney.
  18. J. Aase Nielsen & Klaus Sandmann & Erik Schlogl, 2010. "Equity-Linked Pension Schemes with Guarantees," Research Paper Series 270, Quantitative Finance Research Centre, University of Technology, Sydney.
  19. Kay Pilz & Erik Schlogl, 2010. "Calibration of Multicurrency LIBOR Market Models," Research Paper Series 286, Quantitative Finance Research Centre, University of Technology, Sydney.
  20. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen & Erik Schlogl, 2009. "Alternative Defaultable Term Structure Models," Research Paper Series 242, Quantitative Finance Research Centre, University of Technology, Sydney.
  21. Kay Pilz & Erik Schlogl, 2009. "A Hybrid Commodity and Interest Rate," Research Paper Series 261, Quantitative Finance Research Centre, University of Technology, Sydney.
  22. Erik Schlögl & Lutz Schlögl, 2007. "Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing," Research Paper Series 190, Quantitative Finance Research Centre, University of Technology, Sydney.
  23. Carl Chiarella & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2005. "A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps," Research Paper Series 167, Quantitative Finance Research Centre, University of Technology, Sydney.
  24. Carl Chiarella & Erik Schlögl & Christina Nikitopoulos-Sklibosios, 2004. "A Markovian Defaultable Term Structure Model with State Dependent Volatilities," Research Paper Series 135, Quantitative Finance Research Centre, University of Technology, Sydney.
  25. Bruce Choy & Tim Dun & Erik Schlögl, 2003. "Correlating Market Models," Research Paper Series 105, Quantitative Finance Research Centre, University of Technology, Sydney.
  26. Antje Mahayni & Erik Schlögl, 2003. "The Risk Management of Minimum Return Guarantees," Research Paper Series 102, Quantitative Finance Research Centre, University of Technology, Sydney.
  27. Erik Schlögl, 2002. "Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices," Research Paper Series 79, Quantitative Finance Research Centre, University of Technology, Sydney.
  28. Tim Dunn & Erik Schlögl & Geoff Barton, 2000. "Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model," Research Paper Series 40, Quantitative Finance Research Centre, University of Technology, Sydney.
  29. Erik Schlögl, 1999. "A Multicurrency Extension of the Lognormal Interest Rate Market Models," Research Paper Series 20, Quantitative Finance Research Centre, University of Technology, Sydney.
  30. Erik Schlögl & Lutz Schlögl, 1999. "A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data," Research Paper Series 24, Quantitative Finance Research Centre, University of Technology, Sydney.
  31. Antje Dudenhausen & Erik Schlögl & Lutz Schlögl, 1999. "Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives," Research Paper Series 19, Quantitative Finance Research Centre, University of Technology, Sydney.

Articles

  1. Leila Hamilton-Russell & Thomas Malan O’Callaghan & Dmitrii Savin & Erik Schlögl, 2024. "Modifying Sequential Monte Carlo Optimisation for Index Tracking to Allow for Transaction Costs," Risks, MDPI, vol. 12(10), pages 1-44, September.
  2. Alan Brace & Karol Gellert & Erik Schlögl, 2024. "SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(6), pages 936-985, June.
  3. Krisztina Katona & Christina Sklibosios Nikitopoulos & Erik Schlögl, 2023. "A Hyperbolic Bid Stack Approach to Electricity Price Modelling," Risks, MDPI, vol. 11(8), pages 1-39, August.
  4. Thomas A. McWalter & Erik Schlögl & Jacques van Appel, 2023. "Analysing Quantiles in Models of Forward Term Rates," Risks, MDPI, vol. 11(2), pages 1-18, January.
  5. Karol Gellert & Erik Schlögl, 2021. "Parameter Learning and Change Detection Using a Particle Filter with Accelerated Adaptation," Risks, MDPI, vol. 9(12), pages 1-18, December.
  6. Yu Feng & Ralph Rudd & Christopher Baker & Qaphela Mashalaba & Melusi Mavuso & Erik Schlögl, 2021. "Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models," Risks, MDPI, vol. 9(1), pages 1-20, January.
  7. Alfeus, Mesias & Grasselli, Martino & Schlögl, Erik, 2020. "A consistent stochastic model of the term structure of interest rates for multiple tenors," Journal of Economic Dynamics and Control, Elsevier, vol. 114(C).
  8. Mesias Alfeus & Ludger Overbeck & Erik Schlögl, 2019. "Regime switching rough Heston model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(5), pages 538-552, May.
  9. Mesias Alfeus & Erik Schlögl, 2019. "On Spread Option Pricing Using Two-Dimensional Fourier Transform," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(05), pages 1-20, August.
  10. Benjamin Cheng & Christina Sklibosios Nikitopoulos & Erik Schlögl, 2019. "Interest rate risk in long‐dated commodity options positions: To hedge or not to hedge?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(1), pages 109-127, January.
  11. Cheng, Benjamin & Nikitopoulos, Christina Sklibosios & Schlögl, Erik, 2018. "Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 148-166.
  12. P. Karlsson & K. F. Pilz & E. Schlögl, 2017. "Calibrating a market model with stochastic volatility to commodity and interest rate risk," Quantitative Finance, Taylor & Francis Journals, vol. 17(6), pages 907-925, June.
  13. Schlögl, Erik, 2013. "Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order," Journal of Economic Dynamics and Control, Elsevier, vol. 37(3), pages 611-632.
  14. K. F. Pilz & E. Schlögl, 2013. "A hybrid commodity and interest rate market model," Quantitative Finance, Taylor & Francis Journals, vol. 13(4), pages 543-560, March.
  15. Nielsen, J. Aase & Sandmann, Klaus & Schlögl, Erik, 2011. "Equity-linked pension schemes with guarantees," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 547-564.
  16. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen & Erik Schlögl, 2009. "Alternative Defaultable Term Structure Models," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(1), pages 1-31, March.
  17. Carl Chiarella & Christina Nikitopoulos Sklibosios & Erik Schlögl, 2007. "A Markovian Defaultable Term Structure Model With State Dependent Volatilities," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 155-202.
  18. Carl Chiarella & Christina Nikitopoulos Sklibosios & Erik Schlogl, 2007. "A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(5), pages 365-399.
  19. Erik Schlögl, 2002. "A multicurrency extension of the lognormal interest rate Market Models," Finance and Stochastics, Springer, vol. 6(2), pages 173-196.
  20. Tim Dun & Geoff Barton & Erik Schlögl, 2001. "Simulated Swaption Delta–Hedging In The Lognormal Forward Libor Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 4(04), pages 677-709.
  21. Erik Schlogl & Lutz Schlogl, 2000. "A square root interest rate model fitting discrete initial term structure data," Applied Mathematical Finance, Taylor & Francis Journals, vol. 7(3), pages 183-209.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Editorship

This author is editor of the following NEP reports, which disseminate new research in a particular field:
  1. Financial Markets (subscribe)
  2. Financial Markets (subscribe)

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 24 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (8) 2004-08-16 2012-09-09 2016-09-25 2016-09-25 2018-10-01 2018-11-05 2018-11-12 2018-11-12. Author is listed
  2. NEP-CMP: Computational Economics (4) 2005-10-29 2009-03-14 2018-01-22 2018-07-09
  3. NEP-FIN: Finance (4) 2004-08-16 2004-08-16 2004-11-22 2005-10-29
  4. NEP-ORE: Operations Research (4) 2014-08-25 2016-02-29 2018-06-25 2018-07-09
  5. NEP-ENE: Energy Economics (3) 2016-02-29 2016-06-04 2016-09-25
  6. NEP-MAC: Macroeconomics (3) 2004-11-22 2005-10-29 2021-02-15
  7. NEP-MON: Monetary Economics (3) 2005-01-10 2021-01-18 2021-02-15
  8. NEP-CBA: Central Banking (2) 2021-01-18 2021-02-15
  9. NEP-FMK: Financial Markets (2) 2004-06-02 2011-03-05
  10. NEP-MST: Market Microstructure (2) 2012-09-09 2014-08-25
  11. NEP-CFN: Corporate Finance (1) 2019-02-04
  12. NEP-ECM: Econometrics (1) 2018-06-25
  13. NEP-ETS: Econometric Time Series (1) 2018-06-25
  14. NEP-IFN: International Finance (1) 2012-09-09
  15. NEP-KNM: Knowledge Management and Knowledge Economy (1) 2018-07-09
  16. NEP-SEA: South East Asia (1) 2010-02-27

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