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Citations of
Erik Schlogl

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

| Working papers | Articles | Access and download statistics

Working papers

  1. Antje Mahayni & Erik Schlögl, 2003. "The Risk Management of Minimum Return Guarantees," Research Paper Series 102, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    Other versions:

    Cited by:

    1. An Chen, 2005. "Loss Analysis of a Life Insurance Company Applying Discrete-time Risk-minimizing Hedging Strategies," Bonn Econ Discussion Papers bgse19_2005, University of Bonn, Germany. [Downloadable!]
      Other versions:

  2. Tim Dunn & Erik Schlögl & Geoff Barton, 2000. "Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model," Research Paper Series 40, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

    Cited by:

    1. Antonis Papapantoleon & Maria Siopacha, 2009. "Strong Taylor approximation of Stochastic Differential Equations and application to the L\'evy LIBOR model," Quantitative Finance Papers 0906.5581, arXiv.org. [Downloadable!]
    2. Erik Schlögl, 2002. "Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices," Research Paper Series 79, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  3. Erik Schlögl, 1999. "A Multicurrency Extension of the Lognormal Interest Rate Market Models," Research Paper Series 20, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    Published as:

    Cited by:

    1. Antonis Papapantoleon, 2009. "Old and new approaches to LIBOR modeling," Quantitative Finance Papers 0910.4941, arXiv.org. [Downloadable!]
    2. Erik Schlögl, 2001. "Arbitrage-Free Interpolation in Models of Market Observable Interest Rates," Research Paper Series 71, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    3. Ernst Eberlein & Nataliya Koval, 2006. "A cross-currency Lévy market model," Quantitative Finance, Taylor and Francis Journals, vol. 6(6), pages 465-480, December. [Downloadable!] (restricted)
    4. Samson Assefa, 2007. "Calibration and Pricing in a Multi-Factor Quadratic Gaussian Model," Research Paper Series 197, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    5. Maria Siopacha & Josef Teichmann, 2007. "Weak and Strong Taylor methods for numerical solutions of stochastic differential equations," Quantitative Finance Papers 0704.0745, arXiv.org. [Downloadable!]
    6. Antonis Papapantoleon & Maria Siopacha, 2009. "Strong Taylor approximation of Stochastic Differential Equations and application to the L\'evy LIBOR model," Quantitative Finance Papers 0906.5581, arXiv.org. [Downloadable!]
    7. Raoul Pietersz & Marcel van Regenmortel, 2005. "Generic Market Models," Finance 0502009, EconWPA. [Downloadable!]
      Other versions:
      • Pietersz, R. & Regenmortel, M. van, 2005. "Generic Market Models," Research Paper ERS-2005-010-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
    8. Erik Schlögl, 2002. "Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices," Research Paper Series 79, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  4. Dudenhausen, Antje & Erik Schloegl & Lutz Schloegl, 1999. "Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives," Discussion Paper Serie B 422, University of Bonn, Germany, revised Apr 1999. [Downloadable!]
    Other versions:

    Cited by:

    1. Tim Dunn & Erik Schlögl & Geoff Barton, 2000. "Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model," Research Paper Series 40, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  5. Schloegl, Erik & Lutz Schloegl, 1997. "A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates," Discussion Paper Serie B 396, University of Bonn, Germany. [Downloadable!]

    Cited by:

    1. Erik Schlögl, Lutz Schlögl, 2000. "A square root interest rate model fitting discrete initial term structure data," Applied Mathematical Finance, Taylor and Francis Journals, vol. 7(3), pages 183-209, September. [Downloadable!] (restricted)
      Other versions:

  6. Schloegl, Erik & Daniel Sommer, 1997. "Factor Models and the Shape of the Term Structure," Discussion Paper Serie B 395, University of Bonn, Germany. [Downloadable!]

    Cited by:

    1. Jean-Philippe BOUCHAUD & Rama CONT & Nicole EL KAROUI & Marc POTTERS & Nicolas SAGNA, 1997. "Phenomenology of the interest curve," Finance 9712009, EconWPA. [Downloadable!]
    2. Jean-Philippe Bouchaud, Nicolas Sagna, Rama Cont, Nicole El-Karoui, Marc Potters, 1999. "Phenomenology of the interest rate curve," Applied Mathematical Finance, Taylor and Francis Journals, vol. 6(3), pages 209-232, September. [Downloadable!] (restricted)
      Other versions:

  7. Schlögl, Erik & Daniel Sommer, 1994. "On Short Rate Processes and Their Implications for Term Structure Movements," Discussion Paper Serie B 293, University of Bonn, Germany. [Downloadable!]

    Cited by:

    1. Schloegl, Erik & Daniel Sommer, 1997. "Factor Models and the Shape of the Term Structure," Discussion Paper Serie B 395, University of Bonn, Germany. [Downloadable!]

  8. Sandmann, K. & E. Schlögl, 1993. "Zustandspreise und die Modellierung des Zinsänderungsrisikos," Discussion Paper Serie B 238, University of Bonn, Germany.

    Cited by:

    1. Sommer, Daniel, 1994. "Continuous-Time Limits in the Generalized Ho-Lee Framework under the Forward Measure," Discussion Paper Serie B 276, University of Bonn, Germany, revised Jul 1996. [Downloadable!]

Articles

  1. Erik Schlögl, 2002. "A multicurrency extension of the lognormal interest rate Market Models," Finance and Stochastics, Springer, vol. 6(2), pages 173-196. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.Sorry, no citations of articles recorded.

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This page was last updated on 2009-12-11.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.