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 2 4 37 0 3 17 47
A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors 3 3 3 3 5 5 5 5
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 0 2 442 1 2 11 1,460
A Hybrid Commodity and Interest Rate 0 0 0 59 0 0 1 244
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 0 0 1 464
A Multicurrency Extension of the Lognormal Interest Rate Market Models 0 0 3 337 1 3 7 659
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 0 1 5 597
A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates 0 0 2 330 0 0 4 1,125
Alternative Defaultable Term Structure Models 0 1 1 87 0 1 6 170
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 0 9 17 600 5 17 47 1,487
Calibrating Market Model to Commodity and Interest Rate Risk 0 0 6 15 0 3 26 42
Calibration of Multicurrency LIBOR Market Models 0 0 0 65 0 2 8 172
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 0 0 3 75 4 13 50 249
Correlating Market Models 0 0 0 415 0 0 2 589
Empirical Hedging Performance on Long-dDted Crude Oil Derivatives 0 0 33 33 0 1 30 30
Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? 1 1 7 26 2 3 19 51
Equity-Linked Pension Schemes with Guarantees 0 0 0 82 0 3 13 213
Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices 0 0 0 130 2 2 4 295
Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing 0 0 0 156 0 0 0 419
Factor Models and the Shape of the Term Structure 0 0 1 528 0 0 3 1,375
Hedging Futures Options with Stochastic Interest Rates 2 2 35 35 2 7 58 58
On Short Rate Processes and Their Implications for Term Structure Movements 0 0 1 222 0 0 8 766
Pricing American Options under Regime Switching Using Method of Lines 0 3 12 18 0 5 24 35
Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates 2 3 19 32 5 6 37 69
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 0 71 0 0 3 279
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 1 1 416 0 1 10 1,655
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 0 1 1 609 0 1 5 1,780
The Risk Management of Minimum Return Guarantees 0 0 0 155 0 0 4 428
The Risk Management of Minimum Return Guarantees 0 0 1 181 0 0 4 522
Zustandspreise und die Modellierung des Zinsänderungsrisikos 0 0 0 1 1 3 11 643
Total Working Papers 8 26 152 5,340 28 82 423 15,928


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 32 0 1 7 193
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 0 0 0 0 0 0 0
A hybrid commodity and interest rate market model 0 0 0 2 0 0 5 19
A multicurrency extension of the lognormal interest rate Market Models 0 0 1 444 1 1 4 1,210
A square root interest rate model fitting discrete initial term structure data 0 0 0 229 0 0 1 775
Alternative Defaultable Term Structure Models 0 0 0 0 0 0 2 12
Equity-linked pension schemes with guarantees 0 0 0 18 0 1 3 47
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 0 0 4 57 1 2 14 226
Total Journal Articles 0 0 5 782 2 5 36 2,482


Statistics updated 2017-09-03