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12 months |
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Last month |
3 months |
12 months |
Total |

A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps |
0 |
0 |
4 |
438 |
0 |
1 |
17 |
1,434 |

A Hybrid Commodity and Interest Rate |
1 |
2 |
5 |
54 |
3 |
10 |
27 |
212 |

A Markovian Defaultable Term Structure Model with State Dependent Volatilities |
0 |
0 |
1 |
180 |
0 |
1 |
7 |
451 |

A Multicurrency Extension of the Lognormal Interest Rate Market Models |
0 |
0 |
1 |
328 |
1 |
2 |
14 |
637 |

A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data |
0 |
0 |
0 |
0 |
2 |
2 |
8 |
575 |

A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates |
0 |
0 |
1 |
327 |
0 |
1 |
13 |
1,107 |

Alternative Defaultable Term Structure Models |
0 |
0 |
6 |
82 |
0 |
2 |
14 |
146 |

Arbitrage-Free Interpolation in Models of Market Observable Interest Rates |
2 |
3 |
30 |
536 |
3 |
8 |
65 |
1,310 |

Calibration of Multicurrency LIBOR Market Models |
0 |
1 |
3 |
62 |
0 |
4 |
16 |
136 |

Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets |
1 |
1 |
14 |
62 |
4 |
9 |
53 |
155 |

Correlating Market Models |
0 |
1 |
2 |
411 |
0 |
1 |
4 |
577 |

Equity-Linked Pension Schemes with Guarantees |
0 |
1 |
13 |
74 |
0 |
6 |
27 |
177 |

Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices |
0 |
0 |
2 |
130 |
0 |
0 |
6 |
273 |

Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing |
0 |
0 |
2 |
156 |
0 |
1 |
6 |
401 |

Factor Models and the Shape of the Term Structure |
0 |
0 |
2 |
524 |
0 |
0 |
9 |
1,356 |

On Short Rate Processes and Their Implications for Term Structure Movements |
0 |
0 |
1 |
220 |
0 |
3 |
16 |
747 |

Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives |
0 |
0 |
0 |
412 |
0 |
2 |
9 |
1,626 |

Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives |
0 |
1 |
3 |
69 |
0 |
1 |
11 |
255 |

Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model |
1 |
2 |
6 |
597 |
5 |
10 |
37 |
1,735 |

The Risk Management of Minimum Return Guarantees |
0 |
0 |
1 |
154 |
1 |
3 |
5 |
409 |

The Risk Management of Minimum Return Guarantees |
0 |
0 |
1 |
177 |
0 |
2 |
10 |
503 |

Zustandspreise und die Modellierung des Zinsänderungsrisikos |
0 |
0 |
0 |
1 |
1 |
8 |
27 |
608 |

Total Working Papers |
5 |
12 |
98 |
4,994 |
20 |
77 |
401 |
14,830 |