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 25 25 0 1 8 8
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 0 0 438 1 2 11 1,439
A Hybrid Commodity and Interest Rate 0 0 4 55 0 1 22 218
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 0 1 4 453
A Multicurrency Extension of the Lognormal Interest Rate Market Models 0 0 3 331 0 0 7 641
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 1 1 4 576
A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates 0 0 0 327 0 0 2 1,107
Alternative Defaultable Term Structure Models 0 0 3 84 0 0 7 149
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 3 4 16 547 7 13 52 1,343
Calibration of Multicurrency LIBOR Market Models 0 0 2 63 0 0 6 138
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 0 3 11 69 1 8 46 181
Correlating Market Models 0 0 1 411 0 0 1 577
Equity-Linked Pension Schemes with Guarantees 0 1 8 77 0 2 17 182
Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices 0 0 0 130 0 1 4 276
Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing 0 0 1 156 2 3 5 404
Factor Models and the Shape of the Term Structure 0 1 1 525 2 6 7 1,363
On Short Rate Processes and Their Implications for Term Structure Movements 0 1 1 221 2 7 17 755
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 1 1 1 413 2 2 6 1,630
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 1 69 0 0 5 256
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 1 2 11 606 4 9 32 1,755
The Risk Management of Minimum Return Guarantees 0 0 1 154 1 3 11 415
The Risk Management of Minimum Return Guarantees 0 0 0 177 0 1 7 505
Zustandspreise und die Modellierung des Zinsänderungsrisikos 0 0 0 1 1 2 16 611
Total Working Papers 5 13 90 5,059 24 63 297 14,982


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 3 171
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 0 2 19 0 2 10 80
A multicurrency extension of the lognormal interest rate Market Models 0 0 2 443 0 0 4 1,199
A square root interest rate model fitting discrete initial term structure data 0 0 1 228 0 0 4 765
Equity-linked pension schemes with guarantees 0 1 6 17 0 1 9 35
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 0 5 16 50 1 11 54 180
The Risk Management of Minimum Return Guarantees 0 0 2 9 0 0 9 91
Total Journal Articles 0 6 29 797 1 14 93 2,521


Statistics updated 2015-03-02