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 4 37 0 0 12 47
A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors 2 14 14 14 9 28 28 28
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 0 2 442 0 2 11 1,461
A Hybrid Commodity and Interest Rate 0 0 0 59 0 0 1 244
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 0 0 1 464
A Multicurrency Extension of the Lognormal Interest Rate Market Models 0 1 4 338 0 6 11 664
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 0 1 5 598
A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates 0 0 2 330 0 0 2 1,125
Alternative Defaultable Term Structure Models 0 0 1 87 0 1 4 171
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 0 2 18 602 2 13 47 1,495
Calibrating Market Model to Commodity and Interest Rate Risk 0 1 5 16 0 3 21 45
Calibration of Multicurrency LIBOR Market Models 0 0 0 65 0 0 7 172
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 1 1 4 76 8 16 60 261
Correlating Market Models 0 0 0 415 0 0 2 589
Empirical Hedging Performance on Long-dDted Crude Oil Derivatives 1 3 6 36 2 6 26 36
Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? 0 1 5 26 0 3 14 52
Equity-Linked Pension Schemes with Guarantees 1 2 2 84 1 4 15 217
Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices 0 0 0 130 0 2 3 295
Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing 0 0 0 156 0 0 0 419
Factor Models and the Shape of the Term Structure 0 0 1 528 0 0 2 1,375
Hedging Futures Options with Stochastic Interest Rates 2 9 29 42 4 13 63 69
On Short Rate Processes and Their Implications for Term Structure Movements 0 0 0 222 0 0 2 766
Pricing American Options under Regime Switching Using Method of Lines 2 3 14 21 5 6 25 41
Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates 1 4 16 34 1 10 35 74
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 1 416 0 0 6 1,655
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 0 71 0 0 2 279
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 0 0 1 609 2 2 4 1,782
The Risk Management of Minimum Return Guarantees 0 0 0 155 0 1 3 429
The Risk Management of Minimum Return Guarantees 0 0 1 181 0 0 3 522
Zustandspreise und die Modellierung des Zinsänderungsrisikos 0 0 0 1 1 3 10 645
Total Working Papers 10 41 130 5,373 35 120 425 16,020


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 32 0 0 5 193
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 0 0 0 0 0 0 0
A hybrid commodity and interest rate market model 0 0 0 2 0 0 3 19
A multicurrency extension of the lognormal interest rate Market Models 0 0 0 444 0 2 4 1,211
A square root interest rate model fitting discrete initial term structure data 0 0 0 229 0 0 1 775
Alternative Defaultable Term Structure Models 0 0 0 0 0 0 0 12
Equity-linked pension schemes with guarantees 0 0 0 18 1 1 3 48
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 0 0 3 57 1 3 13 228
Total Journal Articles 0 0 3 782 2 6 29 2,486


Statistics updated 2017-11-04