Erik Schlögl

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Term structure modeling of SOFR: evaluating the importance of scheduled jumps International Journal of Theoretical and Applied Finance	2024-11-06	Paper
Term rates, multicurve term structures and overnight rate benchmarks: a roll-over risk approach Frontiers of Mathematical Finance	2023-09-27	Paper
A consistent stochastic model of the term structure of interest rates for multiple tenors Journal of Economic Dynamics and Control	2020-06-25	Paper
ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM International Journal of Theoretical and Applied Finance	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 Journal of Economic Dynamics and Control	2016-10-05	Paper
A hybrid commodity and interest rate market model Quantitative Finance	2014-02-20	Paper
Equity-linked pension schemes with guarantees Insurance Mathematics & Economics	2011-12-21	Paper
Lognormal forward market model (LFM) volatility function approximation Contemporary Quantitative Finance	2011-05-31	Paper
Alternative defaultable term structure models Asia-Pacific Financial Markets	2009-09-18	Paper
SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL International Journal of Theoretical and Applied Finance	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 Applied Mathematical Finance	2008-01-31	Paper
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES International Journal of Theoretical and Applied Finance	2007-06-05	Paper
A multicurrency extension of the lognormal interest rate market models Finance and Stochastics	2002-12-01	Paper
A square root interest rate model fitting discrete initial term structure data Applied Mathematical Finance	2002-09-05	Paper
scientific article; zbMATH DE number 1795852 (Why is no real title available?) (available as arXiv preprint)	2002-09-04	Paper

Research outcomes over time

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