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 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


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 1 32 0 2 9 180
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 0 2 22 0 0 6 87
A multicurrency extension of the lognormal interest rate Market Models 0 0 0 443 1 1 4 1,203
A square root interest rate model fitting discrete initial term structure data 0 0 1 229 0 1 5 771
Alternative Defaultable Term Structure Models 0 0 0 0 0 1 3 3
Equity-linked pension schemes with guarantees 0 0 0 17 1 2 5 42
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 0 0 1 51 3 3 15 203
Total Journal Articles 0 0 5 794 5 10 47 2,489


Statistics updated 2016-05-03