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 Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 1 5 431 5 10 35 1,408
A Hybrid Commodity and Interest Rate 2 5 13 47 4 22 51 167
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 1 3 179 0 5 15 444
A Multicurrency Extension of the Lognormal Interest Rate Market Models 1 2 12 325 3 11 29 617
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 1 3 6 563
A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates 0 0 6 325 1 3 17 1,091
Alternative Defaultable Term Structure Models 0 0 5 75 1 4 19 130
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 2 6 30 493 8 18 65 1,226
Calibration of Multicurrency LIBOR Market Models 2 3 17 55 5 10 49 111
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 1 7 44 44 8 27 75 75
Correlating Market Models 0 1 1 408 0 2 4 572
Equity-Linked Pension Schemes with Guarantees 0 0 8 59 7 11 29 145
Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices 0 1 2 128 0 1 8 265
Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing 1 1 4 153 3 9 15 391
Factor Models and the Shape of the Term Structure 0 2 3 522 1 6 10 1,345
On Short Rate Processes and Their Implications for Term Structure Movements 0 0 0 219 0 0 10 731
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 2 4 412 0 3 13 1,617
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 1 66 1 2 6 240
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 1 1 7 590 5 12 47 1,688
The Risk Management of Minimum Return Guarantees 2 2 3 153 3 5 11 402
The Risk Management of Minimum Return Guarantees 0 0 1 176 1 5 11 488
Zustandspreise und die Modellierung des Zinsänderungsrisikos 0 0 0 1 0 3 15 578
Total Working Papers 12 35 169 4,861 57 172 540 14,294

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 2 30 0 2 23 157
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 0 1 16 1 2 8 54
A multicurrency extension of the lognormal interest rate Market Models 0 1 4 438 1 3 11 1,189
A square root interest rate model fitting discrete initial term structure data 1 2 4 226 5 10 22 753
Equity-linked pension schemes with guarantees 0 0 5 5 1 3 17 17
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 1 3 3 3 5 19 19 19
The Risk Management of Minimum Return Guarantees 2 2 3 7 4 14 33 63
Total Journal Articles 4 8 22 725 17 53 133 2,252

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Statistics updated 2013-05-03