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 12 24 24 24 3 5 5 5
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 0 4 438 0 0 16 1,434
A Hybrid Commodity and Interest Rate 0 1 4 54 1 7 29 216
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 1 1 5 452
A Multicurrency Extension of the Lognormal Interest Rate Market Models 3 3 4 331 4 5 17 641
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 0 2 6 575
A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates 0 0 0 327 0 0 11 1,107
Alternative Defaultable Term Structure Models 0 1 7 83 0 1 14 147
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 1 4 31 538 1 10 64 1,317
Calibration of Multicurrency LIBOR Market Models 0 0 3 62 0 1 14 137
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 0 3 11 64 4 16 51 167
Correlating Market Models 0 0 2 411 0 0 4 577
Equity-Linked Pension Schemes with Guarantees 1 2 12 76 1 3 26 180
Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices 0 0 1 130 2 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 1 1 9 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 1 1 7 1,627
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 2 69 1 1 9 256
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 1 2 6 598 2 7 35 1,737
The Risk Management of Minimum Return Guarantees 0 0 1 154 0 2 6 410
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 2 26 609
Total Working Papers 18 40 115 5,029 22 68 389 14,878


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 12 171
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 1 1 18 1 2 13 74
A multicurrency extension of the lognormal interest rate Market Models 1 1 3 442 1 1 7 1,197
A square root interest rate model fitting discrete initial term structure data 0 1 1 228 0 3 7 765
Equity-linked pension schemes with guarantees 0 1 8 16 0 1 11 33
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 1 1 19 42 1 3 88 160
The Risk Management of Minimum Return Guarantees 0 0 1 8 0 4 15 90
Total Journal Articles 2 5 33 785 3 14 153 2,490


Statistics updated 2014-10-03