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 1 3 34 2 4 19 42
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 1 1 441 2 4 12 1,457
A Hybrid Commodity and Interest Rate 0 0 1 59 1 1 9 244
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 1 1 2 336 1 1 6 655
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 1 1 12 594
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 2 2 10 169
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 1 3 13 590 4 10 45 1,463
Calibrating Market Model to Commodity and Interest Rate Risk 1 3 15 15 2 6 36 36
Calibration of Multicurrency LIBOR Market Models 0 0 1 65 1 3 13 169
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 0 1 1 73 6 15 26 224
Correlating Market Models 0 0 0 415 1 2 4 589
Empirical Hedging Performance on Long-dDted Crude Oil Derivatives 1 2 32 32 5 11 24 24
Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? 0 0 11 23 1 4 31 46
Equity-Linked Pension Schemes with Guarantees 0 0 2 82 2 5 17 209
Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices 0 0 0 130 0 1 8 293
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 1 1 1 528 1 1 5 1,375
Hedging Futures Options with Stochastic Interest Rates 5 13 29 29 7 26 41 41
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 3 3 12 12 4 4 24 24
Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates 1 3 17 25 4 9 39 56
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 0 415 0 0 12 1,654
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 0 71 1 1 7 278
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 0 0 0 608 1 1 12 1,779
The Risk Management of Minimum Return Guarantees 0 0 0 155 0 0 4 426
The Risk Management of Minimum Return Guarantees 0 1 2 181 0 2 8 522
Zustandspreise und die Modellierung des Zinsänderungsrisikos 0 0 0 1 0 3 9 638
Total Working Papers 14 34 146 5,294 49 118 452 15,781


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 0 2 9 96
A hybrid commodity and interest rate market model 0 0 0 2 0 1 7 19
A multicurrency extension of the lognormal interest rate Market Models 0 0 1 444 2 2 7 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 1 5 46
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 0 2 6 57 0 4 21 221
Total Journal Articles 0 2 8 804 2 12 73 2,569


Statistics updated 2017-04-03