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 3 33 0 3 19 38
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 0 1 440 1 4 11 1,454
A Hybrid Commodity and Interest Rate 0 0 1 59 0 0 8 243
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 0 1 5 464
A Multicurrency Extension of the Lognormal Interest Rate Market Models 0 1 1 335 0 1 7 654
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 0 0 12 593
A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates 0 1 1 329 0 1 7 1,124
Alternative Defaultable Term Structure Models 0 0 0 86 0 1 9 168
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 2 5 14 589 4 9 51 1,457
Calibrating Market Model to Commodity and Interest Rate Risk 1 2 13 13 2 8 32 32
Calibration of Multicurrency LIBOR Market Models 0 0 1 65 0 1 12 166
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 1 1 2 73 4 12 20 213
Correlating Market Models 0 0 0 415 0 0 3 587
Empirical Hedging Performance on Long-dDted Crude Oil Derivatives 1 2 32 32 3 7 17 17
Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? 0 3 24 24 0 5 43 43
Equity-Linked Pension Schemes with Guarantees 0 0 2 82 2 4 16 206
Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices 0 0 0 130 0 0 8 292
Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing 0 0 0 156 1 1 3 420
Factor Models and the Shape of the Term Structure 0 0 0 527 0 1 6 1,374
Hedging Futures Options with Stochastic Interest Rates 5 8 21 21 10 20 26 26
On Short Rate Processes and Their Implications for Term Structure Movements 0 0 1 222 1 4 12 768
Pricing American Options under Regime Switching Using Method of Lines 0 2 9 9 0 4 20 20
Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates 2 7 25 25 4 13 49 52
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 1 415 0 5 13 1,654
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 0 71 0 0 8 277
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 0 0 0 608 4 6 19 1,784
The Risk Management of Minimum Return Guarantees 1 1 2 181 3 5 14 524
The Risk Management of Minimum Return Guarantees 0 0 0 155 0 0 7 426
Zustandspreise und die Modellierung des Zinsänderungsrisikos 0 0 0 1 2 2 10 637
Total Working Papers 13 33 154 5,276 41 118 467 15,713


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 0 3 13 191
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 0 0 22 1 3 8 95
A hybrid commodity and interest rate market model 0 0 0 2 1 3 8 19
A multicurrency extension of the lognormal interest rate Market Models 0 0 1 444 0 1 6 1,208
A square root interest rate model fitting discrete initial term structure data 0 0 0 229 0 0 4 774
Alternative Defaultable Term Structure Models 0 0 0 0 0 0 10 12
Equity-linked pension schemes with guarantees 0 0 1 18 1 1 6 46
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 0 1 4 55 0 2 17 217
Total Journal Articles 0 1 6 802 3 13 72 2,562


Statistics updated 2017-02-02