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 0 7 33 0 3 17 30
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 0 1 440 1 1 7 1,449
A Hybrid Commodity and Interest Rate 0 1 3 59 1 3 14 243
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 1 2 7 463
A Multicurrency Extension of the Lognormal Interest Rate Market Models 0 0 1 334 1 2 6 652
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 0 2 13 592
A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates 0 0 1 328 0 1 7 1,121
Alternative Defaultable Term Structure Models 0 0 0 86 0 1 10 164
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 2 2 17 583 5 11 58 1,440
Calibrating Market Model to Commodity and Interest Rate Risk 1 9 9 9 2 14 16 16
Calibration of Multicurrency LIBOR Market Models 0 1 1 65 1 3 19 164
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 0 0 2 72 0 1 10 199
Correlating Market Models 0 0 2 415 0 1 5 587
Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? 1 4 19 19 2 7 32 32
Equity-Linked Pension Schemes with Guarantees 0 2 3 82 0 4 12 200
Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices 0 0 0 130 0 1 7 291
Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing 0 0 0 156 0 1 2 419
Factor Models and the Shape of the Term Structure 0 0 2 527 0 2 6 1,372
On Short Rate Processes and Their Implications for Term Structure Movements 0 0 0 221 0 0 2 758
Pricing American Options under Regime Switching Using Method of Lines 2 3 6 6 2 6 11 11
Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates 0 2 13 13 2 7 32 32
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 1 415 0 2 8 1,645
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 1 71 0 2 10 276
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 0 0 0 608 3 3 11 1,775
The Risk Management of Minimum Return Guarantees 0 0 0 155 0 1 8 424
The Risk Management of Minimum Return Guarantees 1 1 1 180 1 1 9 518
Zustandspreise und die Modellierung des Zinsänderungsrisikos 0 0 0 1 1 2 11 632
Total Working Papers 7 25 90 5,188 23 84 350 15,505


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 2 5 15 186
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 0 1 22 2 2 8 91
A hybrid commodity and interest rate market model 0 0 0 2 0 2 4 14
A multicurrency extension of the lognormal interest rate Market Models 0 0 0 443 2 2 5 1,206
A square root interest rate model fitting discrete initial term structure data 0 0 0 229 0 1 6 774
Alternative Defaultable Term Structure Models 0 0 0 0 0 4 10 10
Equity-linked pension schemes with guarantees 0 0 1 18 0 0 5 44
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 0 1 2 53 1 6 16 212
Total Journal Articles 0 1 5 799 7 22 69 2,537


Statistics updated 2016-09-03