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 |
4 |
33 |
0 |
6 |
20 |
38 |

A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps |
0 |
0 |
1 |
440 |
2 |
3 |
10 |
1,453 |

A Hybrid Commodity and Interest Rate |
0 |
0 |
1 |
59 |
0 |
0 |
8 |
243 |

A Markovian Defaultable Term Structure Model with State Dependent Volatilities |
0 |
0 |
0 |
180 |
1 |
1 |
5 |
464 |

A Multicurrency Extension of the Lognormal Interest Rate Market Models |
0 |
1 |
1 |
335 |
0 |
1 |
7 |
654 |

A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data |
0 |
0 |
0 |
0 |
0 |
1 |
13 |
593 |

A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates |
0 |
1 |
1 |
329 |
0 |
2 |
8 |
1,124 |

Alternative Defaultable Term Structure Models |
0 |
0 |
0 |
86 |
1 |
2 |
9 |
168 |

Arbitrage-Free Interpolation in Models of Market Observable Interest Rates |
1 |
4 |
14 |
587 |
3 |
10 |
53 |
1,453 |

Calibrating Market Model to Commodity and Interest Rate Risk |
0 |
1 |
12 |
12 |
1 |
8 |
30 |
30 |

Calibration of Multicurrency LIBOR Market Models |
0 |
0 |
1 |
65 |
1 |
1 |
12 |
166 |

Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets |
0 |
0 |
1 |
72 |
4 |
9 |
17 |
209 |

Correlating Market Models |
0 |
0 |
0 |
415 |
0 |
0 |
3 |
587 |

Empirical Hedging Performance on Long-dDted Crude Oil Derivatives |
0 |
17 |
31 |
31 |
2 |
12 |
14 |
14 |

Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? |
1 |
3 |
24 |
24 |
1 |
7 |
43 |
43 |

Equity-Linked Pension Schemes with Guarantees |
0 |
0 |
2 |
82 |
1 |
2 |
14 |
204 |

Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices |
0 |
0 |
0 |
130 |
0 |
0 |
8 |
292 |

Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing |
0 |
0 |
0 |
156 |
0 |
0 |
2 |
419 |

Factor Models and the Shape of the Term Structure |
0 |
0 |
2 |
527 |
0 |
1 |
8 |
1,374 |

Hedging Futures Options with Stochastic Interest Rates |
0 |
4 |
16 |
16 |
4 |
15 |
16 |
16 |

On Short Rate Processes and Their Implications for Term Structure Movements |
0 |
1 |
1 |
222 |
0 |
6 |
11 |
767 |

Pricing American Options under Regime Switching Using Method of Lines |
1 |
3 |
9 |
9 |
2 |
7 |
20 |
20 |

Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates |
3 |
7 |
23 |
23 |
4 |
12 |
48 |
48 |

Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives |
0 |
0 |
1 |
415 |
3 |
7 |
13 |
1,654 |

Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives |
0 |
0 |
0 |
71 |
0 |
0 |
8 |
277 |

Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model |
0 |
0 |
0 |
608 |
1 |
3 |
15 |
1,780 |

The Risk Management of Minimum Return Guarantees |
0 |
0 |
1 |
180 |
0 |
3 |
11 |
521 |

The Risk Management of Minimum Return Guarantees |
0 |
0 |
0 |
155 |
0 |
1 |
7 |
426 |

Zustandspreise und die Modellierung des Zinsänderungsrisikos |
0 |
0 |
0 |
1 |
0 |
0 |
10 |
635 |

Total Working Papers |
6 |
42 |
146 |
5,263 |
31 |
120 |
443 |
15,672 |