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 24 24 24 0 5 5 5
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 0 4 438 0 0 15 1,434
A Hybrid Commodity and Interest Rate 0 0 4 54 0 4 28 216
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 0 1 5 452
A Multicurrency Extension of the Lognormal Interest Rate Market Models 0 3 4 331 0 4 15 641
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 0 0 6 575
A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates 0 0 0 327 0 0 8 1,107
Alternative Defaultable Term Structure Models 1 2 6 84 2 3 13 149
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 2 4 31 540 5 12 64 1,322
Calibration of Multicurrency LIBOR Market Models 0 0 3 62 0 1 11 137
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 1 3 11 65 3 15 51 170
Correlating Market Models 0 0 2 411 0 0 3 577
Equity-Linked Pension Schemes with Guarantees 0 2 11 76 0 3 24 180
Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices 0 0 1 130 0 2 6 275
Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing 0 0 2 156 0 0 6 401
Factor Models and the Shape of the Term Structure 0 0 1 524 0 1 7 1,357
On Short Rate Processes and Their Implications for Term Structure Movements 0 0 0 220 0 1 14 748
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 0 412 0 1 5 1,627
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 2 69 0 1 8 256
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 1 2 4 599 2 4 27 1,739
The Risk Management of Minimum Return Guarantees 0 0 1 154 2 3 8 412
The Risk Management of Minimum Return Guarantees 0 0 0 177 0 0 9 503
Zustandspreise und die Modellierung des Zinsänderungsrisikos 0 0 0 1 0 1 25 609
Total Working Papers 5 40 111 5,034 14 62 363 14,892


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 11 171
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 1 1 18 0 2 7 74
A multicurrency extension of the lognormal interest rate Market Models 0 1 3 442 1 2 8 1,198
A square root interest rate model fitting discrete initial term structure data 0 0 1 228 0 0 7 765
Equity-linked pension schemes with guarantees 0 1 7 16 1 2 11 34
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 2 3 20 44 3 5 81 163
The Risk Management of Minimum Return Guarantees 1 1 2 9 1 3 14 91
Total Journal Articles 3 7 34 788 6 14 139 2,496


Statistics updated 2014-11-03