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 |
1 |
2 |
6 |
32 |
1 |
5 |
13 |
24 |

A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps |
0 |
1 |
1 |
440 |
2 |
4 |
6 |
1,447 |

A Hybrid Commodity and Interest Rate |
0 |
0 |
3 |
58 |
3 |
3 |
20 |
238 |

A Markovian Defaultable Term Structure Model with State Dependent Volatilities |
0 |
0 |
0 |
180 |
0 |
1 |
7 |
460 |

A Multicurrency Extension of the Lognormal Interest Rate Market Models |
0 |
0 |
3 |
334 |
0 |
2 |
7 |
649 |

A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data |
0 |
0 |
0 |
0 |
3 |
4 |
8 |
585 |

A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates |
0 |
0 |
1 |
328 |
0 |
2 |
11 |
1,119 |

Alternative Defaultable Term Structure Models |
0 |
0 |
1 |
86 |
1 |
1 |
9 |
160 |

Arbitrage-Free Interpolation in Models of Market Observable Interest Rates |
3 |
5 |
31 |
580 |
5 |
17 |
74 |
1,423 |

Calibration of Multicurrency LIBOR Market Models |
0 |
0 |
0 |
64 |
3 |
5 |
20 |
159 |

Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets |
0 |
1 |
3 |
72 |
0 |
5 |
14 |
198 |

Correlating Market Models |
0 |
0 |
3 |
415 |
1 |
2 |
8 |
586 |

Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? |
3 |
15 |
15 |
15 |
8 |
23 |
23 |
23 |

Equity-Linked Pension Schemes with Guarantees |
0 |
0 |
1 |
80 |
2 |
4 |
9 |
194 |

Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices |
0 |
0 |
0 |
130 |
1 |
2 |
7 |
286 |

Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing |
0 |
0 |
0 |
156 |
0 |
1 |
13 |
418 |

Factor Models and the Shape of the Term Structure |
0 |
0 |
2 |
527 |
0 |
2 |
6 |
1,370 |

On Short Rate Processes and Their Implications for Term Structure Movements |
0 |
0 |
0 |
221 |
0 |
2 |
3 |
758 |

Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates |
1 |
9 |
9 |
9 |
1 |
15 |
18 |
18 |

Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives |
0 |
0 |
1 |
71 |
0 |
2 |
14 |
271 |

Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives |
0 |
1 |
2 |
415 |
1 |
2 |
12 |
1,643 |

Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model |
0 |
0 |
1 |
608 |
2 |
4 |
10 |
1,769 |

The Risk Management of Minimum Return Guarantees |
0 |
0 |
0 |
155 |
0 |
3 |
6 |
422 |

The Risk Management of Minimum Return Guarantees |
0 |
0 |
2 |
179 |
0 |
4 |
9 |
514 |

Zustandspreise und die Modellierung des Zinsänderungsrisikos |
0 |
0 |
0 |
1 |
1 |
3 |
17 |
630 |

Total Working Papers |
8 |
34 |
85 |
5,156 |
35 |
118 |
344 |
15,364 |