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 1 3 34 2 2 18 40
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 1 1 1 441 1 4 11 1,455
A Hybrid Commodity and Interest Rate 0 0 1 59 0 0 8 243
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 0 1 4 464
A Multicurrency Extension of the Lognormal Interest Rate Market Models 0 0 1 335 0 0 5 654
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 0 0 12 593
A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates 1 1 2 330 1 1 7 1,125
Alternative Defaultable Term Structure Models 0 0 0 86 0 0 8 167
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 0 3 12 589 2 9 45 1,459
Calibrating Market Model to Commodity and Interest Rate Risk 1 2 14 14 2 5 34 34
Calibration of Multicurrency LIBOR Market Models 0 0 1 65 2 3 13 168
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 0 1 2 73 5 13 23 218
Correlating Market Models 0 0 0 415 1 1 3 588
Empirical Hedging Performance on Long-dDted Crude Oil Derivatives 0 1 31 31 3 8 19 19
Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? 0 1 22 23 3 4 42 45
Equity-Linked Pension Schemes with Guarantees 0 0 2 82 1 4 15 207
Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices 0 0 0 130 1 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 0 0 0 527 0 0 4 1,374
Hedging Futures Options with Stochastic Interest Rates 3 8 24 24 9 23 34 34
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 0 1 9 9 0 2 20 20
Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates 0 5 20 24 1 9 41 52
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 0 71 0 0 6 277
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 1 415 0 3 13 1,654
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 0 0 0 608 0 0 11 1,778
The Risk Management of Minimum Return Guarantees 0 1 2 181 0 2 10 522
The Risk Management of Minimum Return Guarantees 0 0 0 155 0 0 6 426
Zustandspreise und die Modellierung des Zinsänderungsrisikos 0 0 0 1 1 3 9 638
Total Working Papers 7 26 149 5,280 35 98 438 15,732


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 1 3 12 191
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 0 0 22 1 3 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 0 0 5 1,207
A square root interest rate model fitting discrete initial term structure data 0 0 0 229 1 1 4 775
Alternative Defaultable Term Structure Models 0 0 0 0 0 0 10 12
Equity-linked pension schemes with guarantees 0 0 1 18 0 1 6 46
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 2 2 6 57 4 4 21 221
Total Journal Articles 2 2 8 804 7 13 74 2,567


Statistics updated 2017-03-07