Working Paper |
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12 months |
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Last month |
3 months |
12 months |
Total |

A Consistent Framework for Modelling Basis Spreads in Tenor Swaps |
0 |
0 |
7 |
33 |
0 |
3 |
17 |
30 |

A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps |
0 |
0 |
1 |
440 |
1 |
1 |
7 |
1,449 |

A Hybrid Commodity and Interest Rate |
0 |
1 |
3 |
59 |
1 |
3 |
14 |
243 |

A Markovian Defaultable Term Structure Model with State Dependent Volatilities |
0 |
0 |
0 |
180 |
1 |
2 |
7 |
463 |

A Multicurrency Extension of the Lognormal Interest Rate Market Models |
0 |
0 |
1 |
334 |
1 |
2 |
6 |
652 |

A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data |
0 |
0 |
0 |
0 |
0 |
2 |
13 |
592 |

A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates |
0 |
0 |
1 |
328 |
0 |
1 |
7 |
1,121 |

Alternative Defaultable Term Structure Models |
0 |
0 |
0 |
86 |
0 |
1 |
10 |
164 |

Arbitrage-Free Interpolation in Models of Market Observable Interest Rates |
2 |
2 |
17 |
583 |
5 |
11 |
58 |
1,440 |

Calibrating Market Model to Commodity and Interest Rate Risk |
1 |
9 |
9 |
9 |
2 |
14 |
16 |
16 |

Calibration of Multicurrency LIBOR Market Models |
0 |
1 |
1 |
65 |
1 |
3 |
19 |
164 |

Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets |
0 |
0 |
2 |
72 |
0 |
1 |
10 |
199 |

Correlating Market Models |
0 |
0 |
2 |
415 |
0 |
1 |
5 |
587 |

Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? |
1 |
4 |
19 |
19 |
2 |
7 |
32 |
32 |

Equity-Linked Pension Schemes with Guarantees |
0 |
2 |
3 |
82 |
0 |
4 |
12 |
200 |

Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices |
0 |
0 |
0 |
130 |
0 |
1 |
7 |
291 |

Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing |
0 |
0 |
0 |
156 |
0 |
1 |
2 |
419 |

Factor Models and the Shape of the Term Structure |
0 |
0 |
2 |
527 |
0 |
2 |
6 |
1,372 |

On Short Rate Processes and Their Implications for Term Structure Movements |
0 |
0 |
0 |
221 |
0 |
0 |
2 |
758 |

Pricing American Options under Regime Switching Using Method of Lines |
2 |
3 |
6 |
6 |
2 |
6 |
11 |
11 |

Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates |
0 |
2 |
13 |
13 |
2 |
7 |
32 |
32 |

Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives |
0 |
0 |
1 |
415 |
0 |
2 |
8 |
1,645 |

Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives |
0 |
0 |
1 |
71 |
0 |
2 |
10 |
276 |

Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model |
0 |
0 |
0 |
608 |
3 |
3 |
11 |
1,775 |

The Risk Management of Minimum Return Guarantees |
0 |
0 |
0 |
155 |
0 |
1 |
8 |
424 |

The Risk Management of Minimum Return Guarantees |
1 |
1 |
1 |
180 |
1 |
1 |
9 |
518 |

Zustandspreise und die Modellierung des Zinsänderungsrisikos |
0 |
0 |
0 |
1 |
1 |
2 |
11 |
632 |

Total Working Papers |
7 |
25 |
90 |
5,188 |
23 |
84 |
350 |
15,505 |