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Showing results 1 to 20 of 21
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Issue Date
Title
Author(s)
2022-12-16
A hybrid commodity and interest rate market model
Pilz, KF
;
Schlögl, E
2022-12-09
A Hyperbolic Bid Stack Approach to Electricity Price Modelling
Katona, K
;
Nikitopoulos, CS
;
Schlögl, E
2023-04-25
A Price Mechanism Survey of the Australian National Electricity Market
Katona, K
;
Sklibosios Nikitopoulos, C
;
Schlögl, E
2009-03-01
Alternative defaultable term structure models
Bruti-Liberati, N
;
Nikitopoulos-Sklibosios, C
;
Platen, E
;
Schlögl, E
2023-02-01
Analysing Quantiles in Models of Forward Term Rates
McWalter, TA
;
Schlögl, E
;
van Appel, J
2017-06-03
Calibrating a market model with stochastic volatility to commodity and interest rate risk
Karlsson, P
;
Pilz, KF
;
Schlögl, E
2011-11-01
Equity-linked pension schemes with guarantees
Nielsen, JA
;
Sandmann, K
;
Schlögl, E
2012-01-03
Factor Distributions Implied by Quoted CDO Spreads
Schlögl, E
;
Schlögl, L
2013-04-01
A hybrid commodity and interest rate market model
Pilz, KF
;
Schlögl, E
2019-01-01
Interest rate risk in long-dated commodity options positions: To hedge or not to hedge?
Cheng, B
;
Nikitopoulos, CS
;
Schlögl, E
2007-02-01
A Markovian defaultable term structure model with state dependent volatilities
Chiarella, C
;
Sklibosios, CN
;
Schlögl, E
2019-08-01
ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM
Alfeus, M
;
Schlögl, E
2013-03-01
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order
Schlögl, E
2021-12-16
Parameter Learning and Change Detection Using a Particle Filter with Accelerated Adaptation
Gellert, K
;
Schlögl, E
2018-10-01
Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?
Cheng, B
;
Nikitopoulos, CS
;
Schlögl, E
2021-01-04
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models
Feng, Y
;
Rudd, R
;
Baker, C
;
Mashalaba, Q
;
Mavuso, M
;
Schlögl, E
2019-05-01
Regime switching rough Heston model
Alfeus, M
;
Overbeck, L
;
Schlögl, E
2022-01-01
Short Rate Dynamics: A Fed Funds and SOFR perspective
Gellert, K
;
Schlögl, E
2022-11-07
SOFR Term Structure Dynamics - Discontinuous Short Rates and Stochastic Volatility Forward Rates
Brace, A
;
Gellert, K
;
Schlögl, E
2023-09-01
TERM RATES, MULTICURVE TERM STRUCTURES AND OVERNIGHT RATE BENCHMARKS: A ROLL–OVER RISK APPROACH
Backwell, A
;
Macrina, A
;
Schlögl, E
;
Skovmand, D