A multicurrency extension of the lognormal interest rate Market Models. - Erik Schlögl (Finance Stochastics, 2002)

Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation. - Karol Gellert; Erik Schlögl (CoRR, 2018)

Estimation When Both Covariance and Precision Matrices are Sparse. - Shev MacNamara; Erik Schlögl; Zdravko I. Botev (WSC, 2021)