Access Statistics for Erik Schlogl

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Consistent Framework for Modelling Basis Spreads in Tenor Swaps 0 2 7 33 1 5 17 28
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 0 1 440 0 3 6 1,448
A Hybrid Commodity and Interest Rate 1 1 4 59 2 7 17 242
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 1 2 7 462
A Multicurrency Extension of the Lognormal Interest Rate Market Models 0 0 2 334 0 1 5 650
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 2 10 14 592
A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates 0 0 1 328 1 2 12 1,121
Alternative Defaultable Term Structure Models 0 0 0 86 1 5 11 164
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 0 4 20 581 3 14 62 1,432
Calibration of Multicurrency LIBOR Market Models 1 1 1 65 2 7 22 163
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 0 0 2 72 1 1 14 199
Correlating Market Models 0 0 3 415 1 2 7 587
Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? 3 6 18 18 4 14 29 29
Equity-Linked Pension Schemes with Guarantees 2 2 3 82 2 6 11 198
Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices 0 0 0 130 1 6 8 291
Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing 0 0 0 156 0 0 8 418
Factor Models and the Shape of the Term Structure 0 0 2 527 0 0 4 1,370
On Short Rate Processes and Their Implications for Term Structure Movements 0 0 0 221 0 0 3 758
Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates 2 5 13 13 4 12 29 29
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 1 71 1 4 15 275
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 2 415 0 1 10 1,643
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 0 0 0 608 0 5 10 1,772
The Risk Management of Minimum Return Guarantees 0 0 0 155 0 1 7 423
The Risk Management of Minimum Return Guarantees 0 0 2 179 0 3 11 517
Zustandspreise und die Modellierung des Zinsänderungsrisikos 0 0 0 1 1 2 14 631
Total Working Papers 9 21 82 5,169 28 113 353 15,442


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps 0 0 1 32 1 2 11 182
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 0 1 22 0 2 6 89
A multicurrency extension of the lognormal interest rate Market Models 0 0 0 443 0 2 3 1,204
A square root interest rate model fitting discrete initial term structure data 0 0 0 229 1 3 6 774
Alternative Defaultable Term Structure Models 0 0 0 0 2 5 8 8
Equity-linked pension schemes with guarantees 0 1 1 18 0 3 6 44
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 0 1 1 52 4 10 17 210
Total Journal Articles 0 2 4 796 8 27 57 2,511


Statistics updated 2016-07-02