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 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


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 2 5 7 178
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 0 3 22 0 2 7 87
A multicurrency extension of the lognormal interest rate Market Models 0 0 0 443 1 1 3 1,202
A square root interest rate model fitting discrete initial term structure data 0 0 1 229 1 2 5 770
Alternative Defaultable Term Structure Models 0 0 0 0 0 1 2 2
Equity-linked pension schemes with guarantees 0 0 0 17 0 0 5 40
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 0 0 1 51 0 1 21 200
Total Journal Articles 0 0 6 794 4 12 50 2,479
1 registered items for which data could not be found


Statistics updated 2016-02-03