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 25 25 1 1 9 9
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 0 0 438 0 2 8 1,439
A Hybrid Commodity and Interest Rate 0 0 4 55 0 1 20 218
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 0 0 4 453
A Multicurrency Extension of the Lognormal Interest Rate Market Models 0 0 3 331 0 0 7 641
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 1 2 5 577
A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates 0 0 0 327 1 1 3 1,108
Alternative Defaultable Term Structure Models 0 0 2 84 0 0 5 149
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 1 4 16 548 5 15 48 1,348
Calibration of Multicurrency LIBOR Market Models 1 1 3 64 1 1 7 139
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 0 1 11 69 3 8 45 184
Correlating Market Models 0 0 1 411 0 0 1 577
Equity-Linked Pension Schemes with Guarantees 1 2 6 78 1 3 13 183
Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices 0 0 0 130 1 2 5 277
Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing 0 0 1 156 0 3 5 404
Factor Models and the Shape of the Term Structure 0 1 1 525 1 6 8 1,364
On Short Rate Processes and Their Implications for Term Structure Movements 0 1 1 221 0 7 14 755
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 1 1 413 0 2 6 1,630
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 1 69 0 0 5 256
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 1 3 12 607 1 9 32 1,756
The Risk Management of Minimum Return Guarantees 0 0 0 177 0 1 6 505
The Risk Management of Minimum Return Guarantees 1 1 2 155 1 3 12 416
Zustandspreise und die Modellierung des Zinsänderungsrisikos 0 0 0 1 2 4 16 613
Total Working Papers 5 15 90 5,064 19 71 284 15,001


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 1 171
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 0 2 19 0 0 9 80
A multicurrency extension of the lognormal interest rate Market Models 0 0 2 443 0 0 3 1,199
A square root interest rate model fitting discrete initial term structure data 0 0 1 228 1 1 4 766
Equity-linked pension schemes with guarantees 0 1 4 17 1 2 8 36
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 0 1 13 50 5 8 43 185
The Risk Management of Minimum Return Guarantees 0 0 2 9 0 0 7 91
Total Journal Articles 0 2 24 797 7 11 75 2,528


Statistics updated 2015-04-05