Edit Profile (opens in new tab) Schlögl, Erik Co-Author Distance Author ID: schlogl.erik Published as: Schlögl, Erik; Schlögl, E. Documents Indexed: 15 Publications since 2000, including 1 Book Co-Authors: 13 Co-Authors with 11 Joint Publications 163 Co-Co-Authors all top 5 Co-Authors 4 single-authored 3 Nikitopoulos Sklibosios, Christina 2 Alfeus, Mesias 2 Chiarella, Carl 2 Dun, Tim 2 Pilz, Kay Frederik 1 Barton, Geoff 1 Bruti-Liberati, Nicola 1 Chung, In-Hwan 1 Grasselli, Martino 1 Nielsen, Jørgen Aase 1 Platen, Eckhard 1 Sandmann, Klaus 1 Schlögl, Lutz all top 5 Serials 3 International Journal of Theoretical and Applied Finance 2 Journal of Economic Dynamics & Control 2 Applied Mathematical Finance 2 Quantitative Finance 1 Insurance Mathematics & Economics 1 Finance and Stochastics 1 Asia-Pacific Financial Markets 1 Chapman & Hall/CRC Financial Mathematics Series Fields 15 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 2 Probability theory and stochastic processes (60-XX) 1 Numerical analysis (65-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 12 Publications have been cited 48 times in 43 Documents Cited by ▼ Year ▼ A multicurrency extension of the lognormal interest rate market models. Zbl 1002.91018Schlögl, Erik 12 2002 Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order. Zbl 1346.91240Schlögl, Erik 11 2013 Equity-linked pension schemes with guarantees. Zbl 1228.91045Nielsen, J. Aase; Sandmann, Klaus; Schlögl, Erik 5 2011 On spread option pricing using two-dimensional Fourier transform. Zbl 1422.91761Alfeus, Mesias; Schlögl, Erik 4 2019 A hybrid commodity and interest rate market model. Zbl 1281.91080Pilz, K. F.; Schlögl, E. 3 2013 A Markovian defaultable term structure model with state dependent volatilities. Zbl 1291.91220Chiarella, Carl; Nikitopoulos Sklibosios, Christina; Schlögl, Erik 3 2007 Simulated swaption delta-hedging in the lognormal forward LIBOR model. Zbl 1153.91490Dun, Tim; Barton, Geoff; Schlögl, Erik 3 2001 A square root interest rate model fitting discrete initial term structure data. Zbl 1034.91034Schlögl, Erik; Schlögl, Lutz 2 2000 A consistent stochastic model of the term structure of interest rates for multiple tenors. Zbl 1517.91245Alfeus, Mesias; Grasselli, Martino; Schlögl, Erik 2 2020 Alternative defaultable term structure models. Zbl 1170.91488Bruti-Liberati, Nicola; Nikitopoulos-Sklibosios, Christina; Platen, Eckhard; Schlögl, Erik 1 2009 Arbitrage-free interpolation in models of market observable interest rates. Zbl 1008.91054Schlögl, Erik 1 2002 A control variate method for Monte Carlo simulations of Heath-Jarrow-Morton models with jumps. Zbl 1151.91492Chiarella, Carl; Sklibosios, Christina Nikitopoulos; Schlögl, Erik 1 2007 A consistent stochastic model of the term structure of interest rates for multiple tenors. Zbl 1517.91245Alfeus, Mesias; Grasselli, Martino; Schlögl, Erik 2 2020 On spread option pricing using two-dimensional Fourier transform. Zbl 1422.91761Alfeus, Mesias; Schlögl, Erik 4 2019 Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order. Zbl 1346.91240Schlögl, Erik 11 2013 A hybrid commodity and interest rate market model. Zbl 1281.91080Pilz, K. F.; Schlögl, E. 3 2013 Equity-linked pension schemes with guarantees. Zbl 1228.91045Nielsen, J. Aase; Sandmann, Klaus; Schlögl, Erik 5 2011 Alternative defaultable term structure models. Zbl 1170.91488Bruti-Liberati, Nicola; Nikitopoulos-Sklibosios, Christina; Platen, Eckhard; Schlögl, Erik 1 2009 A Markovian defaultable term structure model with state dependent volatilities. Zbl 1291.91220Chiarella, Carl; Nikitopoulos Sklibosios, Christina; Schlögl, Erik 3 2007 A control variate method for Monte Carlo simulations of Heath-Jarrow-Morton models with jumps. Zbl 1151.91492Chiarella, Carl; Sklibosios, Christina Nikitopoulos; Schlögl, Erik 1 2007 A multicurrency extension of the lognormal interest rate market models. Zbl 1002.91018Schlögl, Erik 12 2002 Arbitrage-free interpolation in models of market observable interest rates. Zbl 1008.91054Schlögl, Erik 1 2002 Simulated swaption delta-hedging in the lognormal forward LIBOR model. Zbl 1153.91490Dun, Tim; Barton, Geoff; Schlögl, Erik 3 2001 A square root interest rate model fitting discrete initial term structure data. Zbl 1034.91034Schlögl, Erik; Schlögl, Lutz 2 2000 all cited Publications top 5 cited Publications all top 5 Cited by 84 Authors 5 Schlögl, Erik 4 Mahayni, Antje 3 Pallavicini, Andrea 2 Alfeus, Mesias 2 Arismendi, Juan Carlos 2 Arrouy, Pierre-Edouard 2 Boumezoued, Alexandre 2 Eberlein, Ernst W. 2 Nastasi, Emanuele 2 Nikitopoulos Sklibosios, Christina 2 Pilz, Kay Frederik 2 Schneider, Judith C. 2 Teichmann, Josef 2 Zhang, Jin E. 1 Aschakulporn, Pakorn 1 Asmussen, Søren 1 Billio, Monica 1 Bladt, Mogens 1 Bonnefoy, Paul 1 Branger, Nicole 1 Brignone, Riccardo 1 Bruti-Liberati, Nicola 1 Callegaro, Giorgia 1 Chateau, Jean-Pierre 1 Cheang, Gerald H. L. 1 Chen, Son-Nan 1 Chiarella, Carl 1 De Genaro, Alan 1 Devineau, Laurent 1 Drimus, Gabriel G. 1 Dufresne, Daniel 1 Elliott, Robert James 1 Escobar, Marcos 1 Fabozzi, Frank J. 1 Fiorin, Lucio 1 Fusai, Gianluca 1 Garces, Len Patrick Dominic M. 1 Gaspar, Raquel M. 1 Gerhart, Christoph 1 Grasselli, Martino 1 Gschnaidtner, Christoph 1 Hainaut, Donatien 1 Han, Miao 1 Hok, Julien 1 Hsu, Pao-Peng 1 Klein, Irene 1 Koval, Nataliya 1 Kyriakou, Ioannis 1 Lapeyre, Bernard 1 Leccadito, Arturo 1 Li, Chang-Yi 1 Lin, Wei 1 Lütkebohmert, Eva 1 Ma, Junmei 1 Maillet, Bertrand B. 1 Maina, Samuel Chege 1 Manzano-Herrero, Alberto Pedro 1 McWalter, Thomas Andrew 1 Mehalla, Sophian 1 Mercurio, Fabio 1 Mück, Matthias 1 Ngare, Philip 1 Papapantoleon, Antonis 1 Pelizzon, Loriana 1 Pietersz, Raoul 1 Platen, Eckhard 1 Prokopczuk, Marcel 1 Sartorelli, Giulio 1 Schmidt, Thorsten 1 Schoenmakers, John G. M. 1 Siopacha, Maria 1 Skov, Jacob Bjerre 1 Skovmand, David 1 Su, Xiaonan 1 Swishchuk, Anatoliy 1 Takahashi, Akihiko 1 Takehara, Kohta 1 Tertychnyi, Maksym 1 Tunaru, Radu S. 1 Van Appel, Jacques 1 van Regenmortel, Marcel 1 Wang, Wei 1 Xing, Yu 1 Xu, Chenglong all top 5 Cited in 15 Serials 12 Quantitative Finance 5 International Journal of Theoretical and Applied Finance 4 Review of Derivatives Research 3 Journal of Computational and Applied Mathematics 3 Insurance Mathematics & Economics 3 Journal of Economic Dynamics & Control 2 Applied Mathematical Finance 2 Finance and Stochastics 2 Asia-Pacific Financial Markets 1 Chaos, Solitons and Fractals 1 Annals of Operations Research 1 Communications in Statistics. Theory and Methods 1 International Journal of Computer Mathematics 1 Journal of Industrial and Management Optimization 1 Journal of Probability and Statistics all top 5 Cited in 6 Fields 41 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 20 Probability theory and stochastic processes (60-XX) 7 Statistics (62-XX) 5 Numerical analysis (65-XX) 1 Real functions (26-XX) 1 Partial differential equations (35-XX) Citations by Year