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 25 25 1 3 8 8
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 0 2 438 0 3 15 1,437
A Hybrid Commodity and Interest Rate 0 1 4 55 0 1 24 217
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 1 1 4 453
A Multicurrency Extension of the Lognormal Interest Rate Market Models 0 0 3 331 0 0 10 641
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 0 0 4 575
A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates 0 0 0 327 0 0 6 1,107
Alternative Defaultable Term Structure Models 0 1 4 84 0 2 8 149
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 1 6 26 544 3 16 60 1,333
Calibration of Multicurrency LIBOR Market Models 0 1 2 63 0 1 9 138
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 2 4 11 68 3 9 48 176
Correlating Market Models 0 0 1 411 0 0 1 577
Equity-Linked Pension Schemes with Guarantees 0 0 9 76 0 0 18 180
Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices 0 0 1 130 0 0 4 275
Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing 0 0 2 156 0 0 3 401
Factor Models and the Shape of the Term Structure 0 0 1 524 1 1 6 1,358
On Short Rate Processes and Their Implications for Term Structure Movements 0 0 0 220 0 0 10 748
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 0 412 0 1 4 1,628
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 1 69 0 0 6 256
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 0 6 9 604 1 10 28 1,747
The Risk Management of Minimum Return Guarantees 0 0 0 177 0 1 7 504
The Risk Management of Minimum Return Guarantees 0 0 1 154 1 3 9 413
Zustandspreise und die Modellierung des Zinsänderungsrisikos 0 0 0 1 0 0 19 609
Total Working Papers 3 20 102 5,049 11 52 311 14,930


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 31 0 0 6 171
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 1 2 19 2 6 11 80
A multicurrency extension of the lognormal interest rate Market Models 0 1 3 443 0 2 6 1,199
A square root interest rate model fitting discrete initial term structure data 0 0 1 228 0 0 5 765
Equity-linked pension schemes with guarantees 0 0 5 16 0 1 8 34
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 4 7 21 49 8 17 70 177
The Risk Management of Minimum Return Guarantees 0 1 2 9 0 1 12 91
Total Journal Articles 4 10 34 795 10 27 118 2,517


Statistics updated 2015-01-03