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 2 7 438 3 9 28 1,431
A Hybrid Commodity and Interest Rate 0 0 6 51 2 5 35 198
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 1 180 0 0 5 449
A Multicurrency Extension of the Lognormal Interest Rate Market Models 0 0 4 328 0 3 20 634
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 0 1 10 572
A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates 0 0 2 327 0 4 15 1,105
Alternative Defaultable Term Structure Models 1 2 7 82 2 3 15 144
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 1 14 41 532 9 27 82 1,300
Calibration of Multicurrency LIBOR Market Models 0 0 8 61 0 3 26 132
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 0 1 15 58 4 11 72 139
Correlating Market Models 0 0 2 410 0 0 4 576
Equity-Linked Pension Schemes with Guarantees 3 5 13 72 5 8 32 170
Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices 0 1 2 130 0 1 7 272
Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing 0 1 3 155 0 1 11 399
Factor Models and the Shape of the Term Structure 0 1 2 524 0 4 12 1,356
On Short Rate Processes and Their Implications for Term Structure Movements 0 0 1 220 3 3 10 741
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 0 412 0 0 7 1,624
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 2 68 0 1 12 251
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 0 0 6 595 1 5 41 1,724
The Risk Management of Minimum Return Guarantees 0 0 2 153 0 0 5 404
The Risk Management of Minimum Return Guarantees 0 0 1 177 1 2 12 499
Zustandspreise und die Modellierung des Zinsänderungsrisikos 0 0 0 1 2 7 19 597
Total Working Papers 5 27 125 4,974 32 98 480 14,717


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 31 2 5 13 170
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 0 1 17 1 2 18 71
A multicurrency extension of the lognormal interest rate Market Models 0 1 3 441 1 3 8 1,196
A square root interest rate model fitting discrete initial term structure data 0 0 2 227 1 2 14 762
Equity-linked pension schemes with guarantees 2 2 8 13 2 2 12 28
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 3 9 35 37 16 35 128 142
The Risk Management of Minimum Return Guarantees 0 0 2 7 2 5 25 84
Total Journal Articles 5 12 52 773 25 54 218 2,453


Statistics updated 2014-04-04