Erik Schlögl

Available identifiers

Publication	Date of Publication	Type
Term structure modeling of SOFR: evaluating the importance of scheduled jumps	2024-11-06	Paper
Term rates, multicurve term structures and overnight rate benchmarks: a roll-over risk approach	2023-09-27	Paper
A consistent stochastic model of the term structure of interest rates for multiple tenors	2020-06-25	Paper
ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM	2019-09-09	Paper
Model Risk Measurement under Wasserstein Distance	2018-09-10	Paper
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order	2016-10-05	Paper
A hybrid commodity and interest rate market model	2014-02-20	Paper
Equity-linked pension schemes with guarantees	2011-12-21	Paper
Lognormal forward market model (LFM) volatility function approximation	2011-05-31	Paper
Alternative defaultable term structure models	2009-09-18	Paper
SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL	2008-09-03	Paper
Quantitative finance. An object-oriented approach in C++	2008-07-25	Paper
A Control Variate Method for Monte Carlo Simulations of Heath–Jarrow–Morton Models with Jumps	2008-01-31	Paper
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES	2007-06-05	Paper
A multicurrency extension of the lognormal interest rate market models	2002-12-01	Paper
A square root interest rate model fitting discrete initial term structure data	2002-09-05	Paper
https://portal.mardi4nfdi.de/entity/Q4550919	2002-09-04	Paper

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