Working Paper |
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Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |

A Consistent Framework for Modelling Basis Spreads in Tenor Swaps |
12 |
24 |
24 |
24 |
3 |
5 |
5 |
5 |

A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps |
0 |
0 |
4 |
438 |
0 |
0 |
16 |
1,434 |

A Hybrid Commodity and Interest Rate |
0 |
1 |
4 |
54 |
1 |
7 |
29 |
216 |

A Markovian Defaultable Term Structure Model with State Dependent Volatilities |
0 |
0 |
0 |
180 |
1 |
1 |
5 |
452 |

A Multicurrency Extension of the Lognormal Interest Rate Market Models |
3 |
3 |
4 |
331 |
4 |
5 |
17 |
641 |

A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data |
0 |
0 |
0 |
0 |
0 |
2 |
6 |
575 |

A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates |
0 |
0 |
0 |
327 |
0 |
0 |
11 |
1,107 |

Alternative Defaultable Term Structure Models |
0 |
1 |
7 |
83 |
0 |
1 |
14 |
147 |

Arbitrage-Free Interpolation in Models of Market Observable Interest Rates |
1 |
4 |
31 |
538 |
1 |
10 |
64 |
1,317 |

Calibration of Multicurrency LIBOR Market Models |
0 |
0 |
3 |
62 |
0 |
1 |
14 |
137 |

Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets |
0 |
3 |
11 |
64 |
4 |
16 |
51 |
167 |

Correlating Market Models |
0 |
0 |
2 |
411 |
0 |
0 |
4 |
577 |

Equity-Linked Pension Schemes with Guarantees |
1 |
2 |
12 |
76 |
1 |
3 |
26 |
180 |

Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices |
0 |
0 |
1 |
130 |
2 |
2 |
6 |
275 |

Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing |
0 |
0 |
2 |
156 |
0 |
0 |
6 |
401 |

Factor Models and the Shape of the Term Structure |
0 |
0 |
1 |
524 |
1 |
1 |
9 |
1,357 |

On Short Rate Processes and Their Implications for Term Structure Movements |
0 |
0 |
0 |
220 |
0 |
1 |
14 |
748 |

Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives |
0 |
0 |
0 |
412 |
1 |
1 |
7 |
1,627 |

Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives |
0 |
0 |
2 |
69 |
1 |
1 |
9 |
256 |

Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model |
1 |
2 |
6 |
598 |
2 |
7 |
35 |
1,737 |

The Risk Management of Minimum Return Guarantees |
0 |
0 |
1 |
154 |
0 |
2 |
6 |
410 |

The Risk Management of Minimum Return Guarantees |
0 |
0 |
0 |
177 |
0 |
0 |
9 |
503 |

Zustandspreise und die Modellierung des Zinsänderungsrisikos |
0 |
0 |
0 |
1 |
0 |
2 |
26 |
609 |

Total Working Papers |
18 |
40 |
115 |
5,029 |
22 |
68 |
389 |
14,878 |