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 26 26 0 2 11 11
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 1 1 439 1 3 8 1,442
A Hybrid Commodity and Interest Rate 0 0 2 55 3 7 16 225
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 2 2 4 455
A Multicurrency Extension of the Lognormal Interest Rate Market Models 0 1 4 332 2 4 9 645
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 1 1 5 578
A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates 0 0 0 327 1 1 2 1,109
Alternative Defaultable Term Structure Models 0 2 4 86 1 4 7 153
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 8 13 27 561 12 22 63 1,370
Calibration of Multicurrency LIBOR Market Models 0 0 2 64 2 2 5 141
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 0 1 9 70 0 1 34 185
Correlating Market Models 0 1 1 412 1 3 3 580
Equity-Linked Pension Schemes with Guarantees 0 1 5 79 1 4 10 187
Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices 0 0 0 130 1 6 10 283
Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing 0 0 0 156 4 6 9 410
Factor Models and the Shape of the Term Structure 0 0 1 525 1 2 10 1,366
On Short Rate Processes and Their Implications for Term Structure Movements 0 0 1 221 0 0 8 755
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 1 1 70 2 4 5 260
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 1 413 1 3 7 1,633
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 0 1 12 608 2 6 32 1,762
The Risk Management of Minimum Return Guarantees 0 0 1 155 0 0 8 416
The Risk Management of Minimum Return Guarantees 0 0 0 177 1 1 3 506
Zustandspreise und die Modellierung des Zinsänderungsrisikos 0 0 0 1 2 4 10 617
Total Working Papers 8 23 98 5,087 41 88 279 15,089


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 31 0 0 0 171
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 2 4 21 1 3 11 83
A multicurrency extension of the lognormal interest rate Market Models 0 0 2 443 1 2 5 1,201
A square root interest rate model fitting discrete initial term structure data 0 1 2 229 1 2 6 768
Equity-linked pension schemes with guarantees 0 0 2 17 1 2 6 38
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 0 1 10 51 1 8 36 193
The Risk Management of Minimum Return Guarantees 0 0 1 9 1 1 6 92
Total Journal Articles 0 4 21 801 6 18 70 2,546


Statistics updated 2015-07-01