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Erik Schlogl

University of Technology Sydney (UTS), UTS Business School, Finance Discipline Group

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

  • University of Technology Sydney (UTS), UTS Business School, Finance Discipline Group

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    • Tel: +61 2 9514 7785
    • Fax: +61 2 9514 7711
SCHOLARLY PAPERS

24

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CITATIONS
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17

Scholarly Papers (24)

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1.

Factor Models and the Shape of the Term Structure

Downloads 1,567 ( 8,391)

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), UTS Business School, Finance Discipline Group and University of Bonn
Downloads 1,567 (8,225)

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), UTS Business School, Finance Discipline Group 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), UTS Business School, Finance Discipline Group
Downloads 733 (25,215)
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), UTS Business School, Finance Discipline Group, ANZ Investment Bank and The University of Sydney
Downloads 715 (27,285)

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), UTS Business School, Finance Discipline Group
Downloads 712 (26,818)
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), UTS Business School, Finance Discipline Group
Downloads 577 (35,896)
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), UTS Business School, Finance Discipline Group and University of Bonn - Institute of Statistics
Downloads 505 (43,133)

Abstract:

7.

Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives

April 1999
Number of pages: 24 Posted: 04 May 1999
Antje Brigitte Mahayni, Erik Schlogl and Lutz Schlögl
Mercator School of Management, University of Technology Sydney (UTS), UTS Business School, Finance Discipline Group and University of Bonn - Institute of Statistics
Downloads 422 (51,783)
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), UTS Business School, Finance Discipline Group
Downloads 195 (94,634)

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), UTS Business School, Finance Discipline Group
Downloads 174 (106,327)

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), UTS Business School, Finance Discipline Group
Downloads 170 (124,442)
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
Carl Chiarella, Christina Sklibosios Nikitopoulos and Erik Schlogl
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney - Business School and University of Technology Sydney (UTS), UTS Business School, Finance Discipline Group
Downloads 163 (141,334)

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
Carl Chiarella, Erik Schlogl and Christina Sklibosios Nikitopoulos
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney (UTS), UTS Business School, Finance Discipline Group and University of Technology Sydney - Business School
Downloads 142 (167,238)
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), UTS Business School, Finance Discipline Group
Downloads 139 (145,810)

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), UTS Business School, Finance Discipline Group
Downloads 123 (131,075)

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), UTS Business School, Finance Discipline Group
Downloads 112 (187,020)
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
Nicola Bruti-Liberati, Christina Sklibosios Nikitopoulos, Eckhard Platen and Erik Schlogl
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), UTS Business School, Finance Discipline Group
Downloads 25 (368,427)

Abstract:

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

17.

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

FIRN Research Paper
Number of pages: 33 Posted: 25 May 2017
Mesias Alfeus, Martino Grasselli and Erik Schlogl
UTS Business School/Finance Discipline group, University of Padova - Department of Mathematics and University of Technology Sydney (UTS), UTS Business School, Finance Discipline Group
Downloads 0 (387,268)

Abstract:

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

18.

Hedging Futures Options with Stochastic Interest Rates

Number of pages: 27 Posted: 20 Sep 2016
Benjamin Cheng, Christina Sklibosios Nikitopoulos and Erik Schlogl
University of Technology Sydney (UTS), UTS Business School, Students, University of Technology Sydney - Business School and University of Technology Sydney (UTS), UTS Business School, Finance Discipline Group
Downloads 0 (309,885)

Abstract:

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

19.

Empirical Hedging Performance on Long-Dated Crude Oil Derivatives

FIRN Research Paper
Number of pages: 24 Posted: 20 Sep 2016
Benjamin Cheng, Christina Sklibosios Nikitopoulos and Erik Schlogl
University of Technology Sydney (UTS), UTS Business School, Students, University of Technology Sydney - Business School and University of Technology Sydney (UTS), UTS Business School, Finance Discipline Group
Downloads 0 (214,197)

Abstract:

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

20.

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), UTS Business School, Finance Discipline Group
Downloads 0 (175,041)

Abstract:

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

21.

Pricing American Options Under Regime Switching Using Method of Lines

Number of pages: 19 Posted: 11 Feb 2016
Carl Chiarella, Christina Sklibosios Nikitopoulos, Erik Schlogl and Hongang Yang
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney - Business School, University of Technology Sydney (UTS), UTS Business School, Finance Discipline Group and University of Technology Sydney (UTS)
Downloads 0 (257,663)

Abstract:

American option, regime switching, method of lines

22.

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

Number of pages: 38 Posted: 25 Jan 2016
Benjamin Cheng, Christina Sklibosios Nikitopoulos and Erik Schlogl
University of Technology Sydney (UTS), UTS Business School, Students, University of Technology Sydney - Business School and University of Technology Sydney (UTS), UTS Business School, Finance Discipline Group
Downloads 0 (315,447)

Abstract:

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

23.

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

Number of pages: 30 Posted: 08 Jan 2016
Benjamin Cheng, Christina Sklibosios Nikitopoulos and Erik Schlogl
University of Technology Sydney (UTS), UTS Business School, Students, University of Technology Sydney - Business School and University of Technology Sydney (UTS), UTS Business School, Finance Discipline Group
Downloads 0 (253,766)

Abstract:

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

24.

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), UTS Business School, Finance Discipline Group and University of Bonn

Abstract:

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