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 1 7 33 2 6 18 30
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 0 1 440 0 1 6 1,448
A Hybrid Commodity and Interest Rate 0 1 3 59 0 4 16 242
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 0 2 7 462
A Multicurrency Extension of the Lognormal Interest Rate Market Models 0 0 2 334 1 2 6 651
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 0 7 13 592
A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates 0 0 1 328 0 2 9 1,121
Alternative Defaultable Term Structure Models 0 0 0 86 0 4 11 164
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 0 1 20 581 3 12 60 1,435
Calibrating Market Model to Commodity and Interest Rate Risk 2 8 8 8 7 14 14 14
Calibration of Multicurrency LIBOR Market Models 0 1 1 65 0 4 20 163
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 0 0 2 72 0 1 11 199
Correlating Market Models 0 0 3 415 0 1 7 587
Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? 0 3 18 18 1 7 30 30
Equity-Linked Pension Schemes with Guarantees 0 2 3 82 2 6 13 200
Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices 0 0 0 130 0 5 7 291
Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing 0 0 0 156 1 1 4 419
Factor Models and the Shape of the Term Structure 0 0 2 527 2 2 6 1,372
On Short Rate Processes and Their Implications for Term Structure Movements 0 0 0 221 0 0 3 758
Pricing American Options under Regime Switching Using Method of Lines 1 3 4 4 3 6 9 9
Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates 0 4 13 13 1 12 30 30
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 1 415 2 2 8 1,645
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 1 71 1 5 12 276
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 0 0 0 608 0 3 9 1,772
The Risk Management of Minimum Return Guarantees 0 0 1 179 0 3 10 517
The Risk Management of Minimum Return Guarantees 0 0 0 155 1 2 8 424
Zustandspreise und die Modellierung des Zinsänderungsrisikos 0 0 0 1 0 1 12 631
Total Working Papers 3 24 91 5,181 27 115 359 15,482


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 1 32 2 4 13 184
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 0 1 22 0 2 6 89
A hybrid commodity and interest rate market model 0 0 0 2 1 2 5 14
A multicurrency extension of the lognormal interest rate Market Models 0 0 0 443 0 1 3 1,204
A square root interest rate model fitting discrete initial term structure data 0 0 0 229 0 3 6 774
Alternative Defaultable Term Structure Models 0 0 0 0 2 7 10 10
Equity-linked pension schemes with guarantees 0 1 1 18 0 2 6 44
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 1 2 2 53 1 8 16 211
Total Journal Articles 1 3 5 799 6 29 65 2,530


Statistics updated 2016-08-02