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 Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 0 4 438 0 1 17 1,434
A Hybrid Commodity and Interest Rate 1 2 5 54 3 10 27 212
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 1 180 0 1 7 451
A Multicurrency Extension of the Lognormal Interest Rate Market Models 0 0 1 328 1 2 14 637
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 2 2 8 575
A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates 0 0 1 327 0 1 13 1,107
Alternative Defaultable Term Structure Models 0 0 6 82 0 2 14 146
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 2 3 30 536 3 8 65 1,310
Calibration of Multicurrency LIBOR Market Models 0 1 3 62 0 4 16 136
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 1 1 14 62 4 9 53 155
Correlating Market Models 0 1 2 411 0 1 4 577
Equity-Linked Pension Schemes with Guarantees 0 1 13 74 0 6 27 177
Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices 0 0 2 130 0 0 6 273
Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing 0 0 2 156 0 1 6 401
Factor Models and the Shape of the Term Structure 0 0 2 524 0 0 9 1,356
On Short Rate Processes and Their Implications for Term Structure Movements 0 0 1 220 0 3 16 747
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 0 412 0 2 9 1,626
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 1 3 69 0 1 11 255
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 1 2 6 597 5 10 37 1,735
The Risk Management of Minimum Return Guarantees 0 0 1 154 1 3 5 409
The Risk Management of Minimum Return Guarantees 0 0 1 177 0 2 10 503
Zustandspreise und die Modellierung des Zinsänderungsrisikos 0 0 0 1 1 8 27 608
Total Working Papers 5 12 98 4,994 20 77 401 14,830


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 1 12 171
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 0 0 17 0 0 14 72
A multicurrency extension of the lognormal interest rate Market Models 0 0 2 441 0 0 6 1,196
A square root interest rate model fitting discrete initial term structure data 1 1 1 228 3 3 9 765
Equity-linked pension schemes with guarantees 0 1 9 15 0 3 12 32
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 0 2 28 41 1 6 111 158
The Risk Management of Minimum Return Guarantees 0 1 1 8 2 3 17 88
Total Journal Articles 1 5 41 781 6 16 181 2,482


Statistics updated 2014-08-03