Welcome to Erik Schlögl's website

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Erik Schlögl is a Professor in the School of Mathematical and Physical Sciences at the University of Technology, Sydney (UTS), Australia, focusing on Financial Mathematics and Quantitative Finance. Erik received his doctorate in Economics from the University of Bonn, Germany, for work on term structure models and the pricing of fixed income derivatives and has gained broad-based experience in computational financial engineering. He has consulted for financial institutions and software developers in Europe, Australia and in the US, and served as an expert witness in cases before the Federal Court of Australia. His research interests cover a broad area of quantitative finance, in particular model calibration, interest rate term structure modelling, credit risk and the integration of multiple sources of risk. His research articles have been published in a number of international journals, including Finance & Stochastics, Quantitative Finance, Risk, the Journal of Banking and Finance and the Journal of Economic Dynamics and Control. He is also the chairman of the organising committee of the Sydney Financial Mathematics Workshop (SFMW) and one of the co-organisers of the long-running conference Quantitative Methods in Finance (QMF). He is an honorary professor at the University of Cape Town and also holds an honorary appointment at the University of Johannesburg, South Africa. Previously, he was employed at the University of New South Wales, Australia, and the University of Bonn, Germany. He is a passionate photographer, especially of wildlife, underwater and on dry land.
Quantitative Finance

Quantitative Finance

Schlögl, E. (2013) Quantitative Finance: An Object-oriented Approach in C++, 1st edition, Chapman & Hall/CRC Financial Mathematics Series. Taylor and Francis, Florida, USA.

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.


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.


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

The Light Aquatic

When not busy working on problems in the world of quantitative finance, Erik Schlögl is an avid photographer, first and foremost under water, but also of the natural world in general, with a bit of travel photography thrown in.

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!

C++ code

Code from Schlögl, E. (2013) Quantitative Finance: An Object-oriented Approach in C++, 1st edition, Chapman & Hall/CRC Financial Mathematics Series. Taylor and Francis, Florida, USA.

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).