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

30

DOWNLOADS
Rank 5,214

SSRN RANKINGS

Top 5,214

in Total Papers Downloads

8,570

SSRN CITATIONS
Rank 18,437

SSRN RANKINGS

Top 18,437

in Total Papers Citations

14

CROSSREF CITATIONS

35

Scholarly Papers (30)

1.
Downloads 1,583 ( 11,644)
Citation 8

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 1,583 (11,432)
Citation 8

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.

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 782 (33,274)
Citation 3

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3.

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 768 (34,119)
Citation 6

Abstract:

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

4.

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 755 (34,942)

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 606 (46,970)
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 531 (55,554)

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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 457 (66,958)
Citation 1

Abstract:

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8.

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 323 (100,193)
Citation 3

Abstract:

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

9.

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 322 (100,554)
Citation 1

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

10.

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 242 (135,954)

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

11.

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 229 (143,408)
Citation 2

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

12.

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 206 (158,638)

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

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
University of Cape Town (UCT) - African Collaboration for Quantitative Finance and Risk Research, University of Padova - Department of Mathematics and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 204 (160,777)
Citation 8

Abstract:

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

14.

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 182 (177,577)
Citation 1

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

15.

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

Number of pages: 28 Posted: 27 Jun 2019 Last Revised: 13 Oct 2019
University of Cape Town, University College London, University of Technology Sydney (UTS), Quantitative Finance Research Centre and University of Copenhagen
Downloads 167 (191,449)
Citation 1

Abstract:

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

16.

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
SEB, RIVACON and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 151 (208,470)
Citation 1

Abstract:

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

17.

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 149 (210,814)
Citation 3

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

18.

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 145 (215,520)
Citation 4

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Pension funds, forward risk adjusted measure, Asian option

19.

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 130 (235,006)
Citation 1

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

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), Quantitative Finance Research Centre and University of Technology Sydney (UTS)
Downloads 106 (272,725)
Citation 1

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American option, regime switching, method of lines

21.

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 98 (287,533)
Citation 4

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

22.

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 80 (326,316)
Citation 1

Abstract:

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

23.

On Numerical Methods for Spread Options

FIRN Research Paper
Number of pages: 31 Posted: 16 Jan 2018
Mesias Alfeus and Erik Schlögl
University of Cape Town (UCT) - African Collaboration for Quantitative Finance and Risk Research and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 78 (331,129)

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spread options, numerical methods, Fourier transform, option pricing

24.

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), Quantitative Finance Research Centre
Downloads 77 (333,692)
Citation 2

Abstract:

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

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 59 (384,386)

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

26.

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 48 (421,934)
Citation 2

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

27.

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 48 (421,934)

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

28.

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 31 (493,992)

Abstract:

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

29.

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

Number of pages: 49 Posted: 25 Jan 2019
Lacima Group, 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 13 (602,100)

Abstract:

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

30.

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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