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 0 5 438 1 3 21 1,434
A Hybrid Commodity and Interest Rate 0 2 6 53 3 11 30 209
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 1 180 1 2 7 451
A Multicurrency Extension of the Lognormal Interest Rate Market Models 0 0 1 328 1 2 14 636
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 0 1 7 573
A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates 0 0 1 327 1 2 14 1,107
Alternative Defaultable Term Structure Models 0 0 6 82 2 2 14 146
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 0 2 32 534 2 7 68 1,307
Calibration of Multicurrency LIBOR Market Models 0 1 3 62 2 4 19 136
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 0 3 15 61 3 12 59 151
Correlating Market Models 1 1 2 411 1 1 4 577
Equity-Linked Pension Schemes with Guarantees 0 2 14 74 1 7 30 177
Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices 0 0 2 130 0 1 7 273
Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing 0 1 3 156 1 2 7 401
Factor Models and the Shape of the Term Structure 0 0 2 524 0 0 9 1,356
On Short Rate Processes and Their Implications for Term Structure Movements 0 0 1 220 1 6 16 747
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 0 412 0 2 9 1,626
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 1 3 69 0 4 14 255
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 1 1 6 596 2 6 38 1,730
The Risk Management of Minimum Return Guarantees 0 1 1 154 1 4 4 408
The Risk Management of Minimum Return Guarantees 0 0 1 177 1 4 11 503
Zustandspreise und die Modellierung des Zinsänderungsrisikos 0 0 0 1 2 10 27 607
Total Working Papers 2 15 105 4,989 26 93 429 14,810


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 1 12 171
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 0 0 17 0 1 15 72
A multicurrency extension of the lognormal interest rate Market Models 0 0 2 441 0 0 6 1,196
A square root interest rate model fitting discrete initial term structure data 0 0 1 227 0 0 7 762
Equity-linked pension schemes with guarantees 0 2 9 15 0 4 12 32
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 0 4 31 41 1 15 119 157
The Risk Management of Minimum Return Guarantees 0 1 1 8 0 2 18 86
Total Journal Articles 0 7 44 780 1 23 189 2,476


Statistics updated 2014-07-03