Working Paper |
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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 |