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 4 33 0 6 20 38
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 0 1 440 2 3 10 1,453
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 1 1 5 464
A Multicurrency Extension of the Lognormal Interest Rate Market Models 0 1 1 335 0 1 7 654
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 0 1 13 593
A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates 0 1 1 329 0 2 8 1,124
Alternative Defaultable Term Structure Models 0 0 0 86 1 2 9 168
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 1 4 14 587 3 10 53 1,453
Calibrating Market Model to Commodity and Interest Rate Risk 0 1 12 12 1 8 30 30
Calibration of Multicurrency LIBOR Market Models 0 0 1 65 1 1 12 166
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 0 0 1 72 4 9 17 209
Correlating Market Models 0 0 0 415 0 0 3 587
Empirical Hedging Performance on Long-dDted Crude Oil Derivatives 0 17 31 31 2 12 14 14
Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? 1 3 24 24 1 7 43 43
Equity-Linked Pension Schemes with Guarantees 0 0 2 82 1 2 14 204
Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices 0 0 0 130 0 0 8 292
Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing 0 0 0 156 0 0 2 419
Factor Models and the Shape of the Term Structure 0 0 2 527 0 1 8 1,374
Hedging Futures Options with Stochastic Interest Rates 0 4 16 16 4 15 16 16
On Short Rate Processes and Their Implications for Term Structure Movements 0 1 1 222 0 6 11 767
Pricing American Options under Regime Switching Using Method of Lines 1 3 9 9 2 7 20 20
Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates 3 7 23 23 4 12 48 48
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 1 415 3 7 13 1,654
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 0 71 0 0 8 277
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 0 0 0 608 1 3 15 1,780
The Risk Management of Minimum Return Guarantees 0 0 1 180 0 3 11 521
The Risk Management of Minimum Return Guarantees 0 0 0 155 0 1 7 426
Zustandspreise und die Modellierung des Zinsänderungsrisikos 0 0 0 1 0 0 10 635
Total Working Papers 6 42 146 5,263 31 120 443 15,672


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 2 4 15 191
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 0 0 22 1 3 7 94
A hybrid commodity and interest rate market model 0 0 0 2 0 3 7 18
A multicurrency extension of the lognormal interest rate Market Models 0 1 1 444 1 2 7 1,208
A square root interest rate model fitting discrete initial term structure data 0 0 0 229 0 0 5 774
Alternative Defaultable Term Structure Models 0 0 0 0 0 2 10 12
Equity-linked pension schemes with guarantees 0 0 1 18 0 0 5 45
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 0 2 4 55 0 3 17 217
Total Journal Articles 0 3 6 802 4 17 73 2,559


Statistics updated 2017-01-03