Welcome to Erik Schlögl's website

Quantitative Finance

Mon, 24 Jan 2022 14:00:00 +0000

The book Quantitative Finance: An Object-Oriented Approach in C++ provides readers with a foundation in the key methods and models of quantitative finance. Keeping the material as self-contained as possible, the author introduces computational finance with a focus on practical implementation in C++.

Through an approach based on C++ classes and templates, the text highlights the basic principles common to various methods and models while the algorithmic implementation guides readers to a more thorough, hands-on understanding. By moving beyond a purely theoretical treatment to the actual implementation of the models using C++, readers greatly enhance their career opportunities in the field.

Research

Mon, 24 Jan 2022 14:00:00 +0000

Jump to Book Chapters, Conference Proceedings or Working Papers. Peer-reviewed journal articles Gellert, K. & Schlögl, E. 2021, ‘Parameter Learning and Change Detection Using a Particle Filter with Accelerated Adaptation’, Risks, 9(12). View/Download from: Publisher’s site (open access)/Working paper version on SSRN Click arrow to view description This paper presents the construction of a particle filter, which incorporates elements inspired by genetic algorithms, in order to achieve accelerated adaptation of the estimated posterior distribution to changes in model parameters.

Consulting

Thu, 24 Feb 2022 14:00:00 +0000

Erik Schlögl has over 25 years of experience in providing consulting services in areas of quantitative finance, financial risk management and the valuation and risk assessment of structured financial products and derivative securities. His projects converted cutting-edge research into practical, value-adding solutions for banks, software developers, insurers and energy utilities. In addition, his expert testimony has been sought in numerous court cases. Examples of past projects include: Model implementation and software development.

The Light Aquatic

Thu, 24 Feb 2022 14:00:00 +0000

His photographs have been published in numerous books, magazines and newspapers, including Australian Geographic. The highest accolade he’s received so far was a “Highly Commended” in the Gerald Durrell Award for Endangered Wildlife category of the Natural History Museum/BBC Wildlife Wildlife Photographer of the Year competition 2002 - still hoping for a repeat performance!

Website Privacy Policy – Dated: The 1st Day of March 2022

Tue, 01 Mar 2022 13:14:24 +1100

This web site is owned and operated by Erik Schlögl and will be referred to as “We”, “our” and “us” in this Internet Privacy Policy. By using this site, you agree to the Internet Privacy Policy of this web site (“the web site”), which is set out on this web site page. The Internet Privacy Policy relates to the collection and use of personal information you may supply to us through your conduct on the web site.

Website Terms and Conditions – Dated: The 1st Day of March 2022

Tue, 01 Mar 2022 13:14:24 +1100

In these terms and conditions, “we” “us” and “our” refers to Erik Schlögl. Your access to and use of all content on this website is provided subject to the following terms and conditions. We reserve the right to amend this notice at any time and your use of the website following any amendments will represent your agreement to be bound by these terms and conditions as amended. We therefore recommend that each time you access our website you read these terms and conditions.

Modified BSD License

Mon, 28 Feb 2022 14:00:00 +0000

Computer code in the language C++ and coding exercises, made available for download from this website, are released under the modified BSD license:

About

Tue, 25 Jan 2022 14:00:00 +0000

C++ code

Mon, 24 Jan 2022 14:00:00 +0000

This page gives an overview of and download links for the C++ code discussed in the book Quantitative Finance: An Object-Oriented Approach in C++, including additional C++ source files and examples. Please note that the code made available on this site is provided under a Modified BSD License (other licenses may apply for code on external sites).

Exercises for "Quantitative Finance: An Object-Oriented Approach in C++"

Mon, 24 Jan 2022 14:00:00 +0000

Exercises to accompany the book Quantitative Finance: An Object-Oriented Approach in C++.