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 0 4 33 3 8 20 38
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 0 1 440 1 2 8 1,451
A Hybrid Commodity and Interest Rate 0 0 1 59 0 0 9 243
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 0 0 5 463
A Multicurrency Extension of the Lognormal Interest Rate Market Models 1 1 1 335 1 2 7 654
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 0 1 14 593
A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates 1 1 2 329 1 3 9 1,124
Alternative Defaultable Term Structure Models 0 0 0 86 0 3 9 167
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 2 3 17 586 2 10 57 1,450
Calibrating Market Model to Commodity and Interest Rate Risk 1 3 12 12 5 13 29 29
Calibration of Multicurrency LIBOR Market Models 0 0 1 65 0 1 12 165
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 0 0 2 72 4 6 15 205
Correlating Market Models 0 0 0 415 0 0 3 587
Empirical Hedging Performance on Long-dDted Crude Oil Derivatives 1 31 31 31 2 12 12 12
Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? 2 4 23 23 4 10 42 42
Equity-Linked Pension Schemes with Guarantees 0 0 2 82 1 3 13 203
Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices 0 0 0 130 0 1 8 292
Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing 0 0 0 156 0 0 2 419
Factor Models and the Shape of the Term Structure 0 0 2 527 1 2 8 1,374
Hedging Futures Options with Stochastic Interest Rates 3 16 16 16 6 12 12 12
On Short Rate Processes and Their Implications for Term Structure Movements 0 1 1 222 3 9 11 767
Pricing American Options under Regime Switching Using Method of Lines 1 2 8 8 2 7 18 18
Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates 2 7 20 20 5 12 44 44
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 1 415 2 6 12 1,651
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 0 71 0 1 8 277
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 0 0 0 608 1 4 14 1,779
The Risk Management of Minimum Return Guarantees 0 0 1 180 2 3 11 521
The Risk Management of Minimum Return Guarantees 0 0 0 155 0 2 8 426
Zustandspreise und die Modellierung des Zinsänderungsrisikos 0 0 0 1 0 3 11 635
Total Working Papers 14 69 146 5,257 46 136 431 15,641


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 32 1 3 16 189
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 0 0 22 1 2 7 93
A hybrid commodity and interest rate market model 0 0 0 2 2 4 8 18
A multicurrency extension of the lognormal interest rate Market Models 0 1 1 444 0 1 6 1,207
A square root interest rate model fitting discrete initial term structure data 0 0 0 229 0 0 6 774
Alternative Defaultable Term Structure Models 0 0 0 0 0 2 11 12
Equity-linked pension schemes with guarantees 0 0 1 18 0 1 5 45
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 1 2 4 55 2 5 18 217
Total Journal Articles 1 3 6 802 6 18 77 2,555


Statistics updated 2016-12-03