Erik Schlögl

University of Technology Sydney (UTS), Quantitative Finance Research Centre

Professor

Ultimo

PO Box 123

Sydney, NSW 2007

Australia

http://www.schlogl.com

University of Cape Town (UCT) - The African Institute of Financial Markets and Risk Management

Leslie Commerce Building

Rondebosch

Cape Town, Western Cape 7700

South Africa

Faculty of Science, Department of Statistics, University of Johannesburg

Auckland Park, 2006

South Africa

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

31

DOWNLOADS
Rank 5,959

SSRN RANKINGS

Top 5,959

in Total Papers Downloads

9,539

SSRN CITATIONS
Rank 19,076

SSRN RANKINGS

Top 19,076

in Total Papers Citations

22

CROSSREF CITATIONS

33

Scholarly Papers (31)

1.
Downloads 1,595 ( 14,672)
Citation 9

Factor Models and the Shape of the Term Structure

Number of pages: 26 Posted: 01 Feb 1997
Erik Schlögl and Daniel Sommer
University of Technology Sydney (UTS), Quantitative Finance Research Centre and University of Bonn
Downloads 1,595 (14,417)
Citation 9

Abstract:

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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 Schlögl and Daniel Sommer
University of Technology Sydney (UTS), Quantitative Finance Research Centre and University of Bonn

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2.

Correlating Market Models

Number of pages: 10 Posted: 24 May 2003
Bruce Choy, Tim Dun and Erik Schlögl
Commonwealth Bank of Australia, ANZ Investment Bank and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 831 (38,119)
Citation 1

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

3.

Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model

Number of pages: 32 Posted: 09 May 2000
Erik Schlögl, Tim Dun and Geoff Barton
University of Technology Sydney (UTS), Quantitative Finance Research Centre, ANZ Investment Bank and The University of Sydney
Downloads 788 (41,043)
Citation 1

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4.

A Multicurrency Extension of the Lognormal Interest Rate Market Models

Number of pages: 13 Posted: 01 Aug 1999
Erik Schlögl
University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 788 (41,043)
Citation 5

Abstract:

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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 Schlögl
Mercator School of Management and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 612 (57,345)
Citation 6

Abstract:

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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 Schlögl and Lutz Schlögl
University of Technology Sydney (UTS), Quantitative Finance Research Centre and University of Bonn - Institute of Statistics
Downloads 537 (67,573)

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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), Quantitative Finance Research Centre and University of Bonn - Institute of Statistics
Downloads 460 (81,729)
Citation 1

Abstract:

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8.

Term Rates, Multicurve Term Structures and Overnight Rate Benchmarks: a Roll-Over Risk Approach

Number of pages: 40 Posted: 27 Jun 2019 Last Revised: 08 Mar 2021
University of Cape Town, University College London, University of Technology Sydney (UTS), Quantitative Finance Research Centre and University of Copenhagen
Downloads 455 (82,759)

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Roll-Over Risk, Multi-Curve Interest Rate Term Structure, OIS, IBOR, LIBOR Transition, Basis Swaps, Calibration

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 Schlögl
School of Risk and Actuarial Studies, ARC Center of Excellence in Population Ageing Research (CEPAR) and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 362 (107,671)
Citation 4

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

10.

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

Number of pages: 25 Posted: 12 Dec 2010
Erik Schlögl
University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 343 (114,302)
Citation 1

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

11.

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 Schlögl
School of Risk and Actuarial Studies, ARC Center of Excellence in Population Ageing Research (CEPAR) and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 259 (153,669)
Citation 2

Abstract:

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

12.

A Hybrid Commodity and Interest Rate Market Model

Number of pages: 30 Posted: 08 Dec 2009
Kay F. Pilz and Erik Schlögl
RIVACON and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 239 (166,260)
Citation 3

Abstract:

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

13.

A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors

FIRN Research Paper
Number of pages: 52 Posted: 25 May 2017 Last Revised: 17 Sep 2018
Mesias Alfeus, Martino Grasselli and Erik Schlögl
Department of Statistics and Actuarial Science - Stellenbosch University, University of Padova - Department of Mathematics and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 224 (176,934)
Citation 9

Abstract:

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

14.

Short Rate Dynamics: A Fed Funds and SOFR perspective

FIRN Research Paper Forthcoming
Number of pages: 34 Posted: 19 Feb 2021
Karol Gellert and Erik Schlögl
University of Technology Sydney (UTS) - Quantitative Finance Research Centre and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 220 (180,755)
Citation 2

Abstract:

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SOFR, EFFR, Fed Funds, interest rate term structure modelling, interest rate futures

15.

Calibration of the Multi-Currency LIBOR Market Model

Number of pages: 25 Posted: 19 Jan 2011
Kay F. Pilz and Erik Schlögl
RIVACON and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 220 (179,930)

Abstract:

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

16.

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), Quantitative Finance Research Centre
Downloads 185 (210,848)
Citation 1

Abstract:

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

17.

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 Schlögl
drkarlsson.com, RIVACON and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 166 (231,372)
Citation 1

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

18.

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), Quantitative Finance Research Centre and University of Technology Sydney - Business School
Downloads 152 (249,089)
Citation 3

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

19.

Equity-Linked Pension Schemes with Guarantees

Number of pages: 31 Posted: 19 Feb 2009
J. Aase Nielsen, Klaus Sandmann and Erik Schlögl
Aarhus University - Department of Theoretical Statistics and Operations Research, University of Bonn - The Bonn Graduate School of Economics and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 149 (253,127)
Citation 4

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Pension funds, forward risk adjusted measure, Asian option

20.

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), Quantitative Finance Research Centre
Downloads 144 (260,188)
Citation 1

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

21.

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), Quantitative Finance Research Centre and University of Technology Sydney (UTS)
Downloads 121 (296,962)
Citation 2

Abstract:

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American option, regime switching, method of lines

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), Quantitative Finance Research Centre
Downloads 107 (323,732)
Citation 3

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

23.

On Numerical Methods for Spread Options

FIRN Research Paper
Number of pages: 31 Posted: 16 Jan 2018
Mesias Alfeus and Erik Schlögl
Department of Statistics and Actuarial Science - Stellenbosch University and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 104 (334,151)

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spread options, numerical methods, Fourier transform, option pricing

24.

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), Quantitative Finance Research Centre
Downloads 101 (336,362)
Citation 1

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

25.

Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models

Number of pages: 16 Posted: 11 Nov 2018
University of Technology Sydney (UTS) - Faculty of Business, The African Institute of Financial Markets and Risk Management, The African Institute for Financial Markets and Risk Management (AIFMRM), University of Cape Town, African Institute of Financial Markets and Risk Management, University of Cape Town (UCT) - The African Institute of Financial Markets and Risk Management and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 98 (343,075)

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Model Risk, Relative Entropy, Option Pricing, Model Calibration, Model Recalibration, Stochastic Volatility

26.

Pricing of Long-Dated Commodity Derivatives: Do Stochastic Interest Rates Matter?

Journal of Banking and Finance, Vol. 95, 2018
Number of pages: 38 Posted: 25 Jan 2016 Last Revised: 09 Nov 2020
University of Technology Sydney (UTS), UTS Business School, Students, University of Technology Sydney - Business School and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 84 (377,696)
Citation 2

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

27.

Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation

FIRN Research Paper, Forthcoming
Number of pages: 37 Posted: 22 Jun 2018 Last Revised: 13 Sep 2018
Karol Gellert and Erik Schlögl
University of Technology Sydney (UTS) - Quantitative Finance Research Centre and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 57 (464,333)
Citation 1

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Particle Filter, Estimation, Sequential Monte Carlo, Sequential Bayesian Updating, Regime Shift, Stochastic Volatility

28.

Model Risk Measurement Under Wasserstein Distance

FIRN Research Paper
Number of pages: 41 Posted: 05 Oct 2018
Yu Feng and Erik Schlögl
University of Technology Sydney (UTS) - Faculty of Business and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 55 (471,879)
Citation 4

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Model Risk, Wasserstein Metric, Robust Modelling, Volatility Risk, Portfolio Optimisation, Option Hedging

29.

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) - Finance Discipline Group and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 51 (487,885)

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

30.

The Impact of Jumps on American Option Pricing: The S&P 100 Options Case.

Number of pages: 49 Posted: 25 Jan 2019
AMP, University of Technology Sydney - Business School, University of Technology Sydney (UTS), Quantitative Finance Research Centre and University of Technology Sydney (UTS), UTS Business School, Finance Discipline Group
Downloads 32 (579,456)

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American options; S&P 100 options; Method of Lines; asset jumps; volatility jumps; stochastic interest rate

31.

On Short Rate Processes and Their Implications for Term Structure Movements

Posted: 08 Sep 1999
Erik Schlögl and Daniel Sommer
University of Technology Sydney (UTS), Quantitative Finance Research Centre and University of Bonn

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