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Ratings agencies & lawsuits – inconsistent models and overly ...www.fanews.co.za › article › legal-affairs › general

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· Professor Erik Schlögl, who served as an expert witness in the first case brought against S&P by twelve local councils in New South Wales, ...

Finance & Stochastics:

people.math.ethz.ch

by Erik Schlögl. Erik Schlögl. University of Technology. Sydney. PO Box Broadway. NSW The Market Models of the term structure of interest rates, ...

Erik Schlögl - The Mathematics Genealogy Project

www.genealogy.math.ndsu.nodak.edu

Erik Schlögl. MathSciNet. Dr. rer. pol. Rheinische Friedrich-Wilhelms-Universität Bonn Germany. Dissertation: Interest Rate Factor Models: Term Structure ...

Arbitrage-free interpolation in models of market observable interest...

www.econbiz.de

Erik Schlögl. Year of Publication: 2001: Authors: Schlögl, Erik: Publisher: Broadway, NSW: Physical Description: 18 S graph. Darst: Series: Research paper ...

Quantitative Finance: An Object-Oriented Approach in C++ - 1st Edition

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Quantitative Finance: An Object-Oriented Approach in C++ provides readers with a foundation in the key methods and models of quantitative finance. Keeping the m

Contemporary Quantitative Finance: Essays in Honour of Eckhard Platen...

books.google.de

In-Hwan Chung, Tim Dun, and Erik Schlögl Abstract In the lognormal forward Market model (LFM) framework, the specification for time-deterministic ...

Advances in Finance and Stochastics: Essays in Honour of Dieter ...books.google.com › books

books.google.de

Timothy A. Dun, Erik Schlögl, and Geoff Barton. Simulated swaption deltahedging in the lognormal forward Libor model. International Journal of Theoretical ...

[ ] Arbitrage-Free Interpolation in Models of Market...

arxiv.org

Authors:Erik Schlögl. (Submitted on 21 Jun 2018). Abstract: Models which postulate lognormal dynamics for interest rates which are compounded according to ...

[ ] Model Risk Measurement under Wasserstein Distance

arxiv.org

Title:Model Risk Measurement under Wasserstein Distance. Authors:Yu Feng, Erik Schlögl · Download PDF. Abstract: The paper proposes a ...

Model Risk Measurement Under Wasserstein Distance by Yu Feng, Erik...

papers.ssrn.com

The paper proposes a new approach to model risk measurement based on the Wasserstein distance between two probability measures. It formulates the theoretical mo

A multicurrency extension of the lognormal interest rate Market...

link.springer.com

The Market Models of the term structure of interest rates, in which forward LIBOR or forward swap rates are modelled to be lognormal under the forward prob

Calibrating a market model with stochastic volatility to commodity...

portal.research.lu.se

Patrik Karlsson; Kay Pilz; Erik Schlögl. External organisations. University of Technology Sydney; RIVACON GmbH; ING Bank. Research areas and keywords ...

Risks | Free Full-Text | Quantifying the Model Risk Inherent in the...

www.mdpi.com

Erik Schlögl. 1,2,3,*. 1. Quantitative Finance Research Centre, University of Technology Sydney, Broadway, NSW 2007, Australia.

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