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 0 26 26 1 1 12 12
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 0 1 439 0 1 8 1,442
A Hybrid Commodity and Interest Rate 1 1 2 56 1 8 14 226
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 0 2 4 455
A Multicurrency Extension of the Lognormal Interest Rate Market Models 0 1 4 332 0 3 8 645
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 1 2 4 579
A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates 0 0 0 327 3 4 5 1,112
Alternative Defaultable Term Structure Models 0 1 4 86 0 2 7 153
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 0 12 25 561 5 26 65 1,375
Calibration of Multicurrency LIBOR Market Models 0 0 2 64 2 4 7 143
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 0 1 8 70 3 4 33 188
Correlating Market Models 0 0 1 412 0 2 3 580
Equity-Linked Pension Schemes with Guarantees 0 0 5 79 0 2 10 187
Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices 0 0 0 130 1 5 11 284
Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing 0 0 0 156 5 10 14 415
Factor Models and the Shape of the Term Structure 0 0 1 525 0 2 10 1,366
On Short Rate Processes and Their Implications for Term Structure Movements 0 0 1 221 0 0 8 755
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 1 1 2 414 4 6 11 1,637
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 1 70 4 7 9 264
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 0 1 11 608 1 4 28 1,763
The Risk Management of Minimum Return Guarantees 1 1 1 178 1 2 4 507
The Risk Management of Minimum Return Guarantees 0 0 1 155 0 0 7 416
Zustandspreise und die Modellierung des Zinsänderungsrisikos 0 0 0 1 2 6 11 619
Total Working Papers 3 19 96 5,090 34 103 293 15,123


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 0 171
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 1 4 21 0 2 11 83
A multicurrency extension of the lognormal interest rate Market Models 0 0 2 443 0 2 5 1,201
A square root interest rate model fitting discrete initial term structure data 0 1 1 229 0 2 3 768
Equity-linked pension schemes with guarantees 0 0 2 17 0 1 6 38
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 0 1 10 51 2 7 37 195
The Risk Management of Minimum Return Guarantees 0 0 1 9 0 1 4 92
Total Journal Articles 0 3 20 801 2 15 66 2,548


Statistics updated 2015-08-02