Erik Schlögl
Erik Schlögl
Professor, School of Mathematical and Physical Sciences, University of Technology Sydney
Verified email at - Homepage
Cited by
Cited by
A multicurrency extension of the lognormal interest rate market models
E Schlögl
Finance and Stochastics 6, 173-196, 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
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
Arbitrage-free interpolation in models of market observable interest rates
E Schlögl
Advances in Finance and Stochastics: Essays in Honour of Dieter Sondermann …, 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
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
Factor models and the shape of the term structure
E Schlögl, D Sommer
Available at SSRN 1145, 1997
On spread option pricing using two-dimensional Fourier transform
M Alfeus, E Schlögl
International Journal of Theoretical and Applied Finance 22 (05), 1950023, 2019
Correlating market models
B Choy, T Dun, E Schlögl
Available at SSRN 395640, 2003
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
Short rate dynamics: A fed funds and sofr perspective
K Gellert, E Schlögl
arXiv preprint arXiv:2101.04308, 2021
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
A hybrid commodity and interest rate market model
KF Pilz, E Schlögl
Commodities, 469-496, 2022
Equity-linked pension schemes with guarantees
JA Nielsen, K Sandmann, E Schlögl
Insurance: Mathematics and Economics 49 (3), 547-564, 2011
The risk management of minimum return guarantees
A Mahayni, E Schlögl
BuR Business Research Journal 1 (1), 2008
A square root interest rate model fitting discrete initial term structure data
E Schlögl, L Schlögl
Applied Mathematical Finance 7 (3), 183-209, 2000
Regime switching rough Heston model
M Alfeus, L Overbeck, E Schlögl
Journal of Futures Markets 39 (5), 538-552, 2019
A simulation algorithm based on measure relationships in the lognormal market models
A Brace, M Musiela, E Schlögl
Preprint, 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
Model risk measurement under wasserstein distance
Y Feng, E Schlögl
arXiv preprint arXiv:1809.03641, 2018
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