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 1 1 49 0 2 3 106
A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors 0 0 0 5 1 1 2 27
A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors 0 0 0 49 0 0 1 129
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 1 1 445 0 1 1 1,489
A Hybrid Commodity and Interest Rate 0 0 0 62 0 0 3 285
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 0 0 2 480
A Multicurrency Extension of the Lognormal Interest Rate Market Models 0 0 0 349 0 1 1 700
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 0 0 2 663
Alternative Defaultable Term Structure Models 0 0 0 87 0 1 1 194
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 1 3 13 707 5 12 40 1,832
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 1 2 3 9 1 5 9 25
Calibrating Market Model to Commodity and Interest Rate Risk 0 1 1 38 0 2 6 104
Calibration of Multicurrency LIBOR Market Models 0 1 2 72 0 2 3 197
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 0 1 1 102 0 2 4 365
Correlating Market Models 0 0 0 416 0 1 2 606
Empirical Hedging Performance on Long-Dated Crude Oil Derivatives 0 1 1 53 0 2 2 156
Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? 0 0 1 45 0 1 3 111
Equity-Linked Pension Schemes with Guarantees 0 0 0 97 0 0 1 271
Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices 0 1 2 133 0 1 2 308
Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing 0 0 0 157 0 0 0 427
Hedging Futures Options with Stochastic Interest Rates 0 1 2 87 0 2 4 235
Model Risk Measurement Under Wasserstein Distance 1 1 1 35 1 1 2 89
Model Risk Measurement under Wasserstein Distance 1 2 3 10 2 4 5 37
On Numerical Methods for Spread Options 0 1 1 64 1 3 5 167
Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation 0 0 0 51 0 0 1 89
Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation 0 0 0 15 0 0 0 16
Pricing American Options under Regime Switching Using Method of Lines 0 1 1 39 0 2 2 99
Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates 0 0 0 51 1 1 1 148
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models 1 1 1 37 1 1 2 124
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models 0 1 1 10 0 3 4 24
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 1 1 75 0 2 2 296
Short Rate Dynamics: A Fed Funds and SOFR Perspective 1 1 4 25 2 6 23 97
Short Rate Dynamics: A Fed Funds and SOFR perspective 0 1 2 27 0 1 10 75
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 0 0 1 615 0 2 3 1,809
Term Rates, Multicurve Term Structures and Overnight Rate Benchmarks: A Roll-Over Risk Approach 0 0 1 22 0 0 2 43
The Impact of Jumps on American Option Pricing: The S&P 100 Options Case 0 0 0 65 0 2 3 160
The Risk Management of Minimum Return Guarantees 0 0 0 182 0 0 0 542
The Risk Management of Minimum Return Guarantees 0 0 0 157 0 0 0 447
Total Working Papers 6 23 45 4,622 15 64 157 12,972

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 1 1 33 0 1 1 206
A Hyperbolic Bid Stack Approach to Electricity Price Modelling 0 0 0 2 0 0 3 12
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 0 0 0 0 0 0 13
A consistent stochastic model of the term structure of interest rates for multiple tenors 0 1 1 22 0 5 6 105
A hybrid commodity and interest rate market model 0 0 0 7 0 1 1 34
A multicurrency extension of the lognormal interest rate Market Models 0 0 0 451 0 0 2 1,242
A square root interest rate model fitting discrete initial term structure data 0 1 1 232 0 3 6 810
Alternative Defaultable Term Structure Models 0 0 0 1 0 1 2 21
Analysing Quantiles in Models of Forward Term Rates 0 0 0 0 0 0 1 3
Calibrating a market model with stochastic volatility to commodity and interest rate risk 0 0 0 4 0 0 2 21
Equity-linked pension schemes with guarantees 0 0 0 24 0 2 3 86
Interest rate risk in long‐dated commodity options positions: To hedge or not to hedge? 0 0 0 2 0 0 1 16
Lost in the LIBOR transition 0 0 0 0 2 2 2 2
Modifying Sequential Monte Carlo Optimisation for Index Tracking to Allow for Transaction Costs 0 0 0 0 0 0 0 0
ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM 0 0 3 37 0 1 6 95
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 0 0 0 74 0 2 5 312
Parameter Learning and Change Detection Using a Particle Filter with Accelerated Adaptation 0 0 0 1 1 1 4 9
Pricing of long-dated commodity derivatives: Do stochastic interest rates matter? 0 0 1 24 0 2 7 109
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models 0 0 1 9 0 0 8 43
Regime switching rough Heston model 0 0 0 4 1 2 5 32
SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL 0 0 1 2 0 3 4 13
SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates 0 0 3 3 2 2 10 10
Total Journal Articles 0 3 12 932 6 28 79 3,194

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Statistics updated 2025-05-12