Dr.
University of Technology, Sydney (UTS) - School of Finance and Economics
Haymarket
PO Box 123
Sydney, NSW 2007
Australia
+61 2 9514 7785 (Phone)
+61 2 9514 7711 (Fax)
email address
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Financial Research Network (FIRN)
C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia
HOME PAGE: http://www.firn.org.au
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Schlogl, Erik's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
5,803 |
Total
Citations
20 |
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1.
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Factor Models and the Shape of the Term Structure
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Schlogl, Erik
University of Technology, Sydney (UTS) - School of Finance and Economics Sommer, Daniel
University of Bonn
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Posted:
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01 Feb 97
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Last Revised:
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22 Apr 98
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1,513
(4,585)
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Schlogl, Erik
University of Technology, Sydney (UTS) - School of Finance and Economics Sommer, Daniel
University of Bonn
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Schlogl, Erik
University of Technology, Sydney (UTS) - School of Finance and Economics Sommer, Daniel
University of Bonn
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1,513
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2.
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Schlogl, Erik
University of Technology, Sydney (UTS) - School of Finance and Economics Dun, Tim
ANZ Investment Bank Barton, Geoff
University of Sydney
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680
(16,686)
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3.
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Choy, Bruce
Commonwealth Bank of Australia Dun, Tim
ANZ Investment Bank Schlogl, Erik
University of Technology, Sydney (UTS) - School of Finance and Economics
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679
(16,716)
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LIBOR Market Models, interest rate term structure, model calibration, swaptions, correlation, implied volatility
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4.
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Schlogl, Erik
University of Technology, Sydney (UTS) - School of Finance and Economics
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654
(17,606)
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5.
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Mahayni, Antje Brigitte
Mercator School of Management Schlogl, Erik
University of Technology, Sydney (UTS) - School of Finance and Economics
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568
(21,549)
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Minimum return guarantee, defined-contribution pension plans, life-insurance, uncertain volatility, conservative pricing, robust hedging, model misspecification, model risk
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6.
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Schlogl, Erik
University of Technology, Sydney (UTS) - School of Finance and Economics Schlögl, Lutz
University of Bonn - Institute of Statistics
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478
(27,021)
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7.
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Mahayni, Antje Brigitte
Mercator School of Management Schlogl, Erik
University of Technology, Sydney (UTS) - School of Finance and Economics Schlögl, Lutz
University of Bonn - Institute of Statistics
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413
(32,837)
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8.
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Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group Nikitipoulos Sklibosios, Christina
University of Technology, Sydney - Faculty of Business Schlogl, Erik
University of Technology, Sydney (UTS) - School of Finance and Economics
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153
(96,136)
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HJM model, jump process, bond option prices, control variate, Monte Carlo simulations
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9.
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Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group Schlogl, Erik
University of Technology, Sydney (UTS) - School of Finance and Economics Nikitipoulos Sklibosios, Christina
University of Technology, Sydney - Faculty of Business
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136
(106,468)
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Interest rates, credit risk, default, Markov property, jump diffusion
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10.
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Pilz, Kay F.
affiliation not provided to SSRN Schlogl, Erik
University of Technology, Sydney (UTS) - School of Finance and Economics
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124
(114,906)
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Commodity modeling, LIBOR Market Model, commodity futures, interest rate risk, spread options
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11.
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Schlogl, Erik
University of Technology, Sydney (UTS) - School of Finance and Economics
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105
(130,550)
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Hermite Expansion, Semi-Nonparametric Estimation, Risk-Neutral Density, Option-Implied Distribution, Exotic Option, Currency Option
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12.
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Nielsen, J. Aase
University of Aarhus - Department of Theoretical Statistics and Operations Research Sandmann, Klaus
University of Bonn - The Bonn Graduate School of Economics Schlogl, Erik
University of Technology, Sydney (UTS) - School of Finance and Economics
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97
(137,969)
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Pension funds, forward risk adjusted measure, Asian option
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13.
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Pilz, Kay F.
affiliation not provided to SSRN Schlogl, Erik
University of Technology, Sydney (UTS) - School of Finance and Economics
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96
(138,906)
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Currency options, LIBOR Market Model, exchange rate risk, interest rate risk
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14.
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Chang, Yang
University of Technology Sydney Schlogl, Erik
University of Technology, Sydney (UTS) - School of Finance and Economics
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94
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uncovered interest rate parity, carry trade, liquidity risk, no-arbitrage bound, volatility
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15.
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Bruti-Liberati, Nicola
affiliation not provided to SSRN Nikitipoulos Sklibosios, Christina
University of Technology, Sydney - Faculty of Business Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics Schlogl, Erik
University of Technology, Sydney (UTS) - School of Finance and Economics
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13
(299,963)
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defaultable forward rates, jump-diffusion processes, growth optimal portfolio, real-world pricing
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16.
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Schlogl, Erik
University of Technology, Sydney (UTS) - School of Finance and Economics Sommer, Daniel
University of Bonn
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Records 1 -
16
of 16 matches
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