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 4 438 0 1 16 1,434
A Hybrid Commodity and Interest Rate 0 1 5 54 3 9 29 215
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 1 180 0 1 5 451
A Multicurrency Extension of the Lognormal Interest Rate Market Models 0 0 1 328 0 2 13 637
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 0 2 8 575
A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates 0 0 1 327 0 1 13 1,107
Alternative Defaultable Term Structure Models 1 1 7 83 1 3 15 147
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 1 3 31 537 6 11 71 1,316
Calibration of Multicurrency LIBOR Market Models 0 0 3 62 1 3 16 137
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 2 3 14 64 8 15 53 163
Correlating Market Models 0 1 2 411 0 1 4 577
Equity-Linked Pension Schemes with Guarantees 1 1 14 75 2 3 28 179
Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices 0 0 1 130 0 0 4 273
Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing 0 0 2 156 0 1 6 401
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 2 16 748
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 0 412 0 0 7 1,626
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 3 69 0 0 10 255
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 0 2 5 597 0 7 35 1,735
The Risk Management of Minimum Return Guarantees 0 0 1 154 1 3 6 410
The Risk Management of Minimum Return Guarantees 0 0 1 177 0 1 10 503
Zustandspreise und die Modellierung des Zinsänderungsrisikos 0 0 0 1 1 4 27 609
Total Working Papers 5 12 99 4,999 24 70 401 14,854


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 0 12 171
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 1 1 1 18 1 1 14 73
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 1 1 228 0 3 9 765
Equity-linked pension schemes with guarantees 1 1 9 16 1 1 12 33
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 0 0 26 41 1 3 106 159
The Risk Management of Minimum Return Guarantees 0 0 1 8 2 4 18 90
Total Journal Articles 2 3 40 783 5 12 177 2,487


Statistics updated 2014-09-03