Schlogl, Erik: search on Z-Library

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1

A Control Variate Method for Monte Carlo Simulations of Heath–Jarrow–Morton Models with Jumps

Chiarella, Carl, Sklibosios, Christina Nikitopoulos, Schlögl, Erik

Journal:

Applied Mathematical Finance

Year:

2007

Language:

english

File:

PDF, 717 KB

english, 2007

2

ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM

ALFEUS, MESIAS, SCHLÖGL, ERIK

Journal:

International Journal of Theoretical and Applied Finance

Year:

2019

Language:

english

File:

PDF, 266 KB

english, 2019

3

SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL

DUN, TIM, BARTON, GEOFF, SCHLÖGL, ERIK

Journal:

International Journal of Theoretical and Applied Finance

Year:

2001

Language:

english

File:

PDF, 530 KB

english, 2001

4

Hedging Futures Options with Stochastic Interest Rates

Cheng, Benjamin, Sklibosios Nikitopoulos, Christina, Schlogl, Erik

Journal:

SSRN Electronic Journal

Year:

2016

Language:

english

File:

PDF, 241 KB

english, 2016

5

A multicurrency extension of the lognormal interest rate Market Models

Journal:

Finance and Stochastics

Year:

2002

Language:

english

File:

PDF, 191 KB

english, 2002

6

Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?

Cheng, Benjamin, Nikitopoulos, Christina Sklibosios, Schlögl, Erik

Journal:

Journal of Banking & Finance

Year:

2017

Language:

english

File:

PDF, 997 KB

english, 2017

7

Equity-linked pension schemes with guarantees

J. Aase Nielsen, Klaus Sandmann, Erik Schlögl

Journal:

Insurance: Mathematics and Economics

Year:

2011

Language:

english

File:

PDF, 2.16 MB

english, 2011

8

A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES

CHIARELLA, CARL, NIKITOPOULOS SKLIBOSIOS, CHRISTINA, SCHLÖGL, ERIK

Journal:

International Journal of Theoretical and Applied Finance

Year:

2007

Language:

english

File:

PDF, 622 KB

english, 2007

9

On methane generation and decarburization in low-alloy Cr-Mo steels during hydrogen attack

Sabine M. Schlogl, Erik Van Der Giessen, Yvonne Van Leeuwen

Journal:

Metallurgical and Materials Transactions A

Year:

2000

Language:

english

File:

PDF, 677 KB

english, 2000

10

Carry Trade and Liquidity Risk: Evidence from forward and Cross-Currency Swap Markets

Chang, Yang, Schlogl, Erik

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 765 KB

english, 2012

11

A square root interest rate model fitting discrete initial term structure data

Schlögl, Erik, Schlögl, Lutz

Journal:

Applied Mathematical Finance

Year:

2000

Language:

english

File:

PDF, 930 KB

english, 2000

12

Pricing of Long-Dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates

Cheng, Benjamin, Nikitopoulos Sklibosios, Christina, Schlogl, Erik

Journal:

SSRN Electronic Journal

Year:

2016

Language:

english

File:

PDF, 309 KB

english, 2016

13

The Risk Management of Minimum Return Guarantees

Mahayni, Antje, Schlögl, Erik

Journal:

Business Research

Year:

2008

Language:

english

File:

PDF, 349 KB

english, 2008

14

A Multicurrency Extension of the Lognormal Interest Rate Market Models

Journal:

SSRN Electronic Journal

Year:

1999

Language:

english

File:

PDF, 289 KB

english, 1999

15

Reactivity of Carbon Dioxide on Nickel: Role of CO in the Competing Interplay between Oxygen and Graphene

Monachino, Enrico, Greiner, Mark, Knop-Gericke, Axel, Schlögl, Robert, Dri, Carlo, Vesselli, Erik, Comelli, Giovanni

Journal:

The Journal of Physical Chemistry Letters

Year:

2014

Language:

english

File:

PDF, 2.37 MB

english, 2014

16

Alternative Defaultable Term Structure Models

Nicola Bruti-Liberati, Christina Nikitopoulos-Sklibosios, Eckhard Platen, Erik Schlögl

Journal:

Asia-Pacific Financial Markets

Year:

2009

Language:

english

File:

PDF, 488 KB

english, 2009

17

A Control Variate Method For Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps

Chiarella, Carl, Nikitipoulos Sklibosios, Christina, Schlogl, Erik

Journal:

SSRN Electronic Journal

Year:

2005

Language:

english

File:

PDF, 391 KB

english, 2005

18

A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data

Schlogl, Erik, Schlögl, Lutz

Journal:

SSRN Electronic Journal

Year:

2000

File:

PDF, 389 KB

2000

19

The Risk Management of Minimum Return Guarantees

Mahayni, Antje B., Schlogl, Erik

Journal:

SSRN Electronic Journal

Year:

2003

Language:

english

File:

PDF, 539 KB

english, 2003

20

Micromechanics of high temperature hydrogen attack

Sabine M. Schlögl, Erik Van der Giessen

Journal:

International Journal for Numerical Methods in Engineering

Year:

2001

Language:

english

File:

PDF, 178 KB

english, 2001

21

Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order

Journal:

Journal of Economic Dynamics and Control

Year:

2013

Language:

english

File:

PDF, 518 KB

english, 2013

22

Option Pricing Where the Underlying Assets Follow a Gram/Charlier Density of Arbitrary Order

Journal:

SSRN Electronic Journal

Year:

2010

Language:

english

File:

PDF, 438 KB

english, 2010

23

Simulated Swaption Delta-Hedging in the Lognormal Forward LIBOR Model

Schlogl, Erik, Dun, Tim, Barton, Geoff

Journal:

SSRN Electronic Journal

Year:

2000

Language:

english

File:

PDF, 403 KB

english, 2000

24

Equity-Linked Pension Schemes with Guarantees

Nielsen, J. Aase, Sandmann, Klaus, Schlogl, Erik

Journal:

SSRN Electronic Journal

Year:

2009

Language:

english

File:

PDF, 327 KB

english, 2009

25

A Consistent Framework for Modelling Basis Spreads in Tenor Swaps

Chang, Yang, Schlogl, Erik

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 3.14 MB

english, 2014

26

On Numerical Methods for Spread Options

Alfeus, Mesias mname, Schlogl, Erik mname

Journal:

SSRN Electronic Journal

Year:

2018

Language:

english

File:

PDF, 445 KB

english, 2018

27

Interest rate risk in long-dated commodity options positions: To hedge or not to hedge?

Cheng, Benjamin, Nikitopoulos, Christina Sklibosios, Schlögl, Erik

Journal:

Journal of Futures Markets

Year:

2018

Language:

english

File:

PDF, 1.61 MB

english, 2018

28

A Hybrid Commodity and Interest Rate Market Model

Pilz, Kay F., Schlogl, Erik

Journal:

SSRN Electronic Journal

Year:

2009

Language:

english

File:

PDF, 492 KB

english, 2009

29

A Markovian Defaultable Term Structure Model with State Dependent Volatilities

Chiarella, Carl, Schlogl, Erik, Nikitipoulos Sklibosios, Christina

Journal:

SSRN Electronic Journal

Year:

2004

Language:

english

File:

PDF, 666 KB

english, 2004

30

A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors

Alfeus, Mesias, Grasselli, Martino, Schlogl, Erik

Journal:

SSRN Electronic Journal

Year:

2017

Language:

english

File:

PDF, 1.37 MB

english, 2017

31

Pricing American Options Under Regime Switching Using Method of Lines

Chiarella, Carl, Nikitopoulos Sklibosios, Christina, Schlogl, Erik, Yang, Hongang

Journal:

SSRN Electronic Journal

Year:

2016

Language:

english

File:

PDF, 658 KB

english, 2016

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