Working Paper |
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3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |

A Consistent Framework for Modelling Basis Spreads in Tenor Swaps |
1 |
2 |
5 |
30 |
1 |
3 |
11 |
19 |

A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps |
0 |
0 |
1 |
439 |
0 |
1 |
5 |
1,443 |

A Hybrid Commodity and Interest Rate |
0 |
0 |
3 |
58 |
0 |
2 |
17 |
235 |

A Markovian Defaultable Term Structure Model with State Dependent Volatilities |
0 |
0 |
0 |
180 |
0 |
1 |
6 |
459 |

A Multicurrency Extension of the Lognormal Interest Rate Market Models |
0 |
0 |
3 |
334 |
0 |
0 |
6 |
647 |

A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data |
0 |
0 |
0 |
0 |
1 |
2 |
6 |
581 |

A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates |
0 |
1 |
1 |
328 |
1 |
2 |
10 |
1,117 |

Alternative Defaultable Term Structure Models |
0 |
0 |
2 |
86 |
0 |
1 |
10 |
159 |

Arbitrage-Free Interpolation in Models of Market Observable Interest Rates |
2 |
7 |
31 |
575 |
6 |
16 |
70 |
1,406 |

Calibration of Multicurrency LIBOR Market Models |
0 |
0 |
1 |
64 |
0 |
2 |
16 |
154 |

Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets |
0 |
1 |
2 |
71 |
1 |
3 |
13 |
193 |

Correlating Market Models |
0 |
2 |
4 |
415 |
0 |
2 |
7 |
584 |

Equity-Linked Pension Schemes with Guarantees |
0 |
1 |
3 |
80 |
0 |
2 |
8 |
190 |

Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices |
0 |
0 |
0 |
130 |
0 |
0 |
8 |
284 |

Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing |
0 |
0 |
0 |
156 |
0 |
0 |
15 |
417 |

Factor Models and the Shape of the Term Structure |
2 |
2 |
2 |
527 |
2 |
2 |
7 |
1,368 |

On Short Rate Processes and Their Implications for Term Structure Movements |
0 |
0 |
0 |
221 |
0 |
0 |
3 |
756 |

Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives |
0 |
0 |
2 |
71 |
0 |
0 |
13 |
269 |

Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives |
0 |
0 |
2 |
414 |
0 |
2 |
13 |
1,641 |

Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model |
0 |
0 |
3 |
608 |
0 |
1 |
14 |
1,765 |

The Risk Management of Minimum Return Guarantees |
0 |
0 |
1 |
155 |
0 |
1 |
5 |
419 |

The Risk Management of Minimum Return Guarantees |
0 |
0 |
2 |
179 |
0 |
0 |
5 |
510 |

Zustandspreise und die Modellierung des Zinsänderungsrisikos |
0 |
0 |
0 |
1 |
2 |
5 |
17 |
627 |

Total Working Papers |
5 |
16 |
68 |
5,122 |
14 |
48 |
285 |
15,243 |