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 1 1 26 26 2 3 11 11
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 1 1 1 439 2 3 8 1,441
A Hybrid Commodity and Interest Rate 0 0 3 55 0 0 16 218
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 0 0 3 453
A Multicurrency Extension of the Lognormal Interest Rate Market Models 0 0 3 331 1 1 7 642
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 0 2 4 577
A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates 0 0 0 327 0 1 2 1,108
Alternative Defaultable Term Structure Models 1 1 3 85 2 2 7 151
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 1 5 16 549 1 13 47 1,349
Calibration of Multicurrency LIBOR Market Models 0 1 3 64 0 1 7 139
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 0 0 8 69 0 4 38 184
Correlating Market Models 1 1 2 412 1 1 2 578
Equity-Linked Pension Schemes with Guarantees 1 2 6 79 2 3 14 185
Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices 0 0 0 130 2 3 6 279
Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing 0 0 0 156 1 3 5 405
Factor Models and the Shape of the Term Structure 0 0 1 525 0 3 8 1,364
On Short Rate Processes and Their Implications for Term Structure Movements 0 0 1 221 0 2 11 755
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 1 1 413 1 3 7 1,631
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 1 1 2 70 1 1 3 257
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 0 2 12 607 3 8 34 1,759
The Risk Management of Minimum Return Guarantees 0 1 1 155 0 2 10 416
The Risk Management of Minimum Return Guarantees 0 0 0 177 0 0 4 505
Zustandspreise und die Modellierung des Zinsänderungsrisikos 0 0 0 1 0 3 13 613
Total Working Papers 7 17 89 5,071 19 62 267 15,020


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 1 171
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 1 1 3 20 1 1 9 81
A multicurrency extension of the lognormal interest rate Market Models 0 0 2 443 0 0 3 1,199
A square root interest rate model fitting discrete initial term structure data 0 0 1 228 0 1 4 766
Equity-linked pension schemes with guarantees 0 0 3 17 1 2 8 37
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 0 0 11 50 3 9 36 188
The Risk Management of Minimum Return Guarantees 0 0 2 9 0 0 6 91
Total Journal Articles 1 1 22 798 5 13 67 2,533


Statistics updated 2015-05-02