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 13 25 25 2 5 7 7
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 0 2 438 3 3 16 1,437
A Hybrid Commodity and Interest Rate 1 1 4 55 1 2 28 217
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 0 1 4 452
A Multicurrency Extension of the Lognormal Interest Rate Market Models 0 3 3 331 0 4 13 641
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 0 0 5 575
A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates 0 0 0 327 0 0 7 1,107
Alternative Defaultable Term Structure Models 0 1 4 84 0 2 10 149
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 3 6 32 543 8 14 68 1,330
Calibration of Multicurrency LIBOR Market Models 1 1 4 63 1 1 12 138
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 1 2 11 66 3 10 49 173
Correlating Market Models 0 0 1 411 0 0 2 577
Equity-Linked Pension Schemes with Guarantees 0 1 11 76 0 1 22 180
Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices 0 0 1 130 0 2 5 275
Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing 0 0 2 156 0 0 5 401
Factor Models and the Shape of the Term Structure 0 0 1 524 0 1 6 1,357
On Short Rate Processes and Their Implications for Term Structure Movements 0 0 0 220 0 0 12 748
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 0 412 1 2 6 1,628
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 1 69 0 1 6 256
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 5 7 9 604 7 11 31 1,746
The Risk Management of Minimum Return Guarantees 0 0 1 154 0 2 8 412
The Risk Management of Minimum Return Guarantees 0 0 0 177 1 1 8 504
Zustandspreise und die Modellierung des Zinsänderungsrisikos 0 0 0 1 0 0 23 609
Total Working Papers 12 35 112 5,046 27 63 353 14,919


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 10 171
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 1 1 2 19 4 5 10 78
A multicurrency extension of the lognormal interest rate Market Models 1 2 4 443 1 3 9 1,199
A square root interest rate model fitting discrete initial term structure data 0 0 1 228 0 0 6 765
Equity-linked pension schemes with guarantees 0 0 6 16 0 1 10 34
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 1 4 18 45 6 10 67 169
The Risk Management of Minimum Return Guarantees 0 1 2 9 0 1 13 91
Total Journal Articles 3 8 33 791 11 20 125 2,507


Statistics updated 2014-12-03