Erik Schlogl

University of Technology Sydney (UTS) - School of Finance and Economics

Dr.

Haymarket

PO Box 123

Sydney, NSW 2007

Australia

http://www.schlogl.com

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

23

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CITATIONS
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Top 18,680

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17

Scholarly Papers (23)

Factor Models and the Shape of the Term Structure

Number of pages: 26 Posted: 01 Feb 1997
Erik Schlogl and Daniel Sommer
University of Technology Sydney (UTS) - School of Finance and Economics and University of Bonn
Downloads 1,559 (7,952)

Abstract:

Factor Models and the Shape of the Term Structure

The Journal of Financial Engineering, Volume 7, Number 1 (March 1998)
Posted: 22 Apr 1998
Erik Schlogl and Daniel Sommer
University of Technology Sydney (UTS) - School of Finance and Economics and University of Bonn

Abstract:

2.

A Multicurrency Extension of the Lognormal Interest Rate Market Models

Number of pages: 13 Posted: 01 Aug 1999
Erik Schlogl
University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 733 (24,538)
Citation 1

Abstract:

3.

Simulated Swaption Delta-Hedging in the Lognormal Forward LIBOR Model

Number of pages: 32 Posted: 09 May 2000
Erik Schlogl, Tim Dun and Geoff Barton
University of Technology Sydney (UTS) - School of Finance and Economics, ANZ Investment Bank and The University of Sydney
Downloads 715 (26,401)

Abstract:

4.

Correlating Market Models

Number of pages: 10 Posted: 24 May 2003
Bruce Choy, Tim Dun and Erik Schlogl
Commonwealth Bank of Australia, ANZ Investment Bank and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 712 (25,945)
Citation 5

Abstract:

LIBOR Market Models, interest rate term structure, model calibration, swaptions, correlation, implied volatility

5.

The Risk Management of Minimum Return Guarantees

BuR Business Research Journal, Vol. 1, No. 1 May 2008
Number of pages: 23 Posted: 31 Jul 2003
Antje Brigitte Mahayni and Erik Schlogl
Mercator School of Management and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 577 (34,936)
Citation 3

Abstract:

Minimum return guarantee, defined-contribution pension plans, life-insurance, uncertain volatility, conservative pricing, robust hedging, model misspecification, model risk

6.

A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data

Number of pages: 35 Posted: 17 Apr 2000
Erik Schlogl and Lutz Schlögl
University of Technology Sydney (UTS) - School of Finance and Economics and University of Bonn - Institute of Statistics
Downloads 505 (41,849)

Abstract:

7.

Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives

April 1999
Number of pages: 24 Posted: 04 May 1999
Mercator School of Management, University of Technology Sydney (UTS) - School of Finance and Economics and University of Bonn - Institute of Statistics
Downloads 422 (50,347)
Citation 1

Abstract:

8.

Option Pricing Where the Underlying Assets Follow a Gram/Charlier Density of Arbitrary Order

Number of pages: 25 Posted: 12 Dec 2010
Erik Schlogl
University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 195 (94,420)

Abstract:

Hermite Expansion, Semi-Nonparametric Estimation, Risk-Neutral Density, Option-Implied Distribution, Exotic Option, Currency Option

9.

Carry Trade and Liquidity Risk: Evidence from forward and Cross-Currency Swap Markets

Number of pages: 35 Posted: 20 Sep 2012
Yang Chang and Erik Schlogl
School of Risk and Actuarial Studies, ARC Center of Excellence in Population Ageing Research (CEPAR) and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 174 (107,886)

Abstract:

uncovered interest rate parity, carry trade, liquidity risk, no-arbitrage bound, volatility

10.

A Hybrid Commodity and Interest Rate Market Model

Number of pages: 30 Posted: 08 Dec 2009
Kay F. Pilz and Erik Schlogl
RIVACON and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 170 (122,680)
Citation 1

Abstract:

Commodity modeling, LIBOR Market Model, commodity futures, interest rate risk, spread options

11.

A Control Variate Method For Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps

Quantitative Finance Research Centre Research Paper Number No. 167
Number of pages: 33 Posted: 02 May 2006
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney - Business School and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 163 (140,418)

Abstract:

HJM model, jump process, bond option prices, control variate, Monte Carlo simulations

12.

A Markovian Defaultable Term Structure Model with State Dependent Volatilities

Number of pages: 40 Posted: 07 Oct 2004
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney (UTS) - School of Finance and Economics and University of Technology Sydney - Business School
Downloads 142 (162,841)
Citation 2

Abstract:

Interest rates, credit risk, default, Markov property, jump diffusion

13.

Calibration of the Multi-Currency LIBOR Market Model

Number of pages: 25 Posted: 19 Jan 2011
Kay F. Pilz and Erik Schlogl
RIVACON and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 139 (144,129)

Abstract:

Currency options, LIBOR Market Model, exchange rate risk, interest rate risk

14.

A Consistent Framework for Modelling Basis Spreads in Tenor Swaps

Number of pages: 54 Posted: 08 May 2014 Last Revised: 16 Jan 2015
Yang Chang and Erik Schlogl
School of Risk and Actuarial Studies, ARC Center of Excellence in Population Ageing Research (CEPAR) and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 123 (134,072)

Abstract:

tenor swap, basis, frequency basis, liquidity risk, swap market

15.

Equity-Linked Pension Schemes with Guarantees

Number of pages: 31 Posted: 19 Feb 2009
J. Aase Nielsen, Klaus Sandmann and Erik Schlogl
University of Aarhus - Department of Theoretical Statistics and Operations Research, University of Bonn - The Bonn Graduate School of Economics and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 112 (183,278)
Citation 4

Abstract:

Pension funds, forward risk adjusted measure, Asian option

16.

Alternative Defaultable Term Structure Models

Quantitative Finance Research Centre Research Paper No. 242
Number of pages: 33 Posted: 13 Nov 2012
affiliation not provided to SSRN, University of Technology Sydney - Business School, University of Technology, Sydney (UTS) - School of Finance and Economics and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 25 (371,013)

Abstract:

defaultable forward rates, jump-diffusion processes, growth optimal portfolio, real-world pricing

17.

Hedging Futures Options with Stochastic Interest Rates

Number of pages: 27 Posted: 20 Sep 2016
University of Technology Sydney (UTS), UTS Business School, Students, University of Technology Sydney - Business School and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 0 (321,950)

Abstract:

Futures options, Stochastic interest rates, Delta hedging, Interest rate hedging

18.

Empirical Hedging Performance on Long-Dated Crude Oil Derivatives

FIRN Research Paper
Number of pages: 24 Posted: 20 Sep 2016
University of Technology Sydney (UTS), UTS Business School, Students, University of Technology Sydney - Business School and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 0 (234,947)

Abstract:

Stochastic interest rates, Delta hedge, Interest rate hedge, Long-dated crude oil options

19.

Calibrating a Market Model to Commodity and Interest Rate Risk

Number of pages: 24 Posted: 04 May 2016 Last Revised: 02 Jul 2016
Patrik Karlsson, Kay F. Pilz and Erik Schlogl
ING Bank, RIVACON and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 0 (169,448)

Abstract:

Calibration, Commodity markets, Derivative pricing, Interest rate modelling, Interest rate derivatives, Oil futures, Energy derivatives

20.

Pricing American Options Under Regime Switching Using Method of Lines

Number of pages: 19 Posted: 11 Feb 2016
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney - Business School, University of Technology Sydney (UTS) - School of Finance and Economics and University of Technology Sydney (UTS)
Downloads 0 (269,605)

Abstract:

American option, regime switching, method of lines

21.

Empirical Pricing Performance on Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter?

Number of pages: 38 Posted: 25 Jan 2016
University of Technology Sydney (UTS), UTS Business School, Students, University of Technology Sydney - Business School and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 0 (321,950)

Abstract:

Futures options pricing, Stochastic interest rates, Correlations, Long-dated crude oil derivatives, commodity futures

22.

Pricing of Long-Dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates

Number of pages: 30 Posted: 08 Jan 2016
University of Technology Sydney (UTS), UTS Business School, Students, University of Technology Sydney - Business School and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 0 (251,239)

Abstract:

Futures options, Stochastic interest rates, Stochastic volatility, Correlations, Long-dated commodity derivatives

23.

On Short Rate Processes and Their Implications for Term Structure Movements

Posted: 08 Sep 1999
Erik Schlogl and Daniel Sommer
University of Technology Sydney (UTS) - School of Finance and Economics and University of Bonn

Abstract: