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 2 7 33 3 5 16 27
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 0 1 440 1 4 7 1,448
A Hybrid Commodity and Interest Rate 0 0 3 58 2 5 18 240
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 1 1 8 461
A Multicurrency Extension of the Lognormal Interest Rate Market Models 0 0 2 334 1 1 7 650
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 5 9 13 590
A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates 0 0 1 328 1 2 12 1,120
Alternative Defaultable Term Structure Models 0 0 0 86 3 4 11 163
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 1 4 28 581 6 15 71 1,429
Calibration of Multicurrency LIBOR Market Models 0 0 0 64 2 6 22 161
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 0 1 2 72 0 3 13 198
Correlating Market Models 0 0 3 415 0 1 7 586
Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? 0 14 15 15 2 22 25 25
Equity-Linked Pension Schemes with Guarantees 0 0 1 80 2 4 10 196
Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices 0 0 0 130 4 5 8 290
Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing 0 0 0 156 0 0 12 418
Factor Models and the Shape of the Term Structure 0 0 2 527 0 0 5 1,370
On Short Rate Processes and Their Implications for Term Structure Movements 0 0 0 221 0 0 3 758
Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates 2 7 11 11 7 14 25 25
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 1 71 3 3 16 274
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 1 2 415 0 2 11 1,643
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 0 0 0 608 3 5 12 1,772
The Risk Management of Minimum Return Guarantees 0 0 2 179 3 5 12 517
The Risk Management of Minimum Return Guarantees 0 0 0 155 1 3 7 423
Zustandspreise und die Modellierung des Zinsänderungsrisikos 0 0 0 1 0 1 15 630
Total Working Papers 4 29 81 5,160 50 120 366 15,414


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 1 32 1 2 10 181
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 0 1 22 2 2 7 89
A multicurrency extension of the lognormal interest rate Market Models 0 0 0 443 1 2 4 1,204
A square root interest rate model fitting discrete initial term structure data 0 0 0 229 2 2 6 773
Alternative Defaultable Term Structure Models 0 0 0 0 3 4 6 6
Equity-linked pension schemes with guarantees 1 1 1 18 2 4 7 44
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 1 1 1 52 3 6 14 206
Total Journal Articles 2 2 4 796 14 22 54 2,503


Statistics updated 2016-06-03