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 1 2 3 35 1 5 19 43
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 1 2 2 442 1 4 11 1,458
A Hybrid Commodity and Interest Rate 0 0 1 59 0 1 6 244
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 0 0 4 464
A Multicurrency Extension of the Lognormal Interest Rate Market Models 0 1 2 336 0 1 6 655
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 0 1 9 594
A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates 0 1 2 330 0 1 6 1,125
Alternative Defaultable Term Structure Models 0 0 0 86 0 2 9 169
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 0 1 10 590 3 9 43 1,466
Calibrating Market Model to Commodity and Interest Rate Risk 0 2 15 15 1 5 37 37
Calibration of Multicurrency LIBOR Market Models 0 0 1 65 0 3 10 169
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 0 0 1 73 4 15 30 228
Correlating Market Models 0 0 0 415 0 2 3 589
Empirical Hedging Performance on Long-dDted Crude Oil Derivatives 0 1 32 32 3 11 27 27
Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? 1 1 9 24 1 5 24 47
Equity-Linked Pension Schemes with Guarantees 0 0 2 82 0 3 15 209
Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices 0 0 0 130 0 1 7 293
Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing 0 0 0 156 0 0 1 419
Factor Models and the Shape of the Term Structure 0 1 1 528 0 1 5 1,375
Hedging Futures Options with Stochastic Interest Rates 1 9 30 30 5 21 46 46
On Short Rate Processes and Their Implications for Term Structure Movements 0 0 1 222 0 0 8 766
Pricing American Options under Regime Switching Using Method of Lines 1 4 12 13 3 7 24 27
Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates 2 3 18 27 2 7 40 58
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 0 71 1 2 8 279
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 0 415 0 0 11 1,654
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 0 0 0 608 0 1 10 1,779
The Risk Management of Minimum Return Guarantees 0 0 2 181 0 0 8 522
The Risk Management of Minimum Return Guarantees 0 0 0 155 2 2 6 428
Zustandspreise und die Modellierung des Zinsänderungsrisikos 0 0 0 1 0 1 8 638
Total Working Papers 7 28 144 5,301 27 111 441 15,808


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 0 32 0 1 11 191
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 0 0 22 1 2 10 97
A hybrid commodity and interest rate market model 0 0 0 2 0 0 7 19
A multicurrency extension of the lognormal interest rate Market Models 0 0 1 444 0 2 6 1,209
A square root interest rate model fitting discrete initial term structure data 0 0 0 229 0 1 4 775
Alternative Defaultable Term Structure Models 0 0 0 0 0 0 9 12
Equity-linked pension schemes with guarantees 0 0 1 18 0 0 4 46
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 0 2 6 57 1 5 19 222
Total Journal Articles 0 2 8 804 2 11 70 2,571


Statistics updated 2017-05-02