Working Paper |
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12 months |
Total |
Last month |
3 months |
12 months |
Total |

A Consistent Framework for Modelling Basis Spreads in Tenor Swaps |
0 |
2 |
4 |
37 |
0 |
3 |
17 |
47 |

A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors |
3 |
3 |
3 |
3 |
5 |
5 |
5 |
5 |

A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps |
0 |
0 |
2 |
442 |
1 |
2 |
11 |
1,460 |

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 |
0 |
3 |
337 |
1 |
3 |
7 |
659 |

A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data |
0 |
0 |
0 |
0 |
0 |
1 |
5 |
597 |

A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates |
0 |
0 |
2 |
330 |
0 |
0 |
4 |
1,125 |

Alternative Defaultable Term Structure Models |
0 |
1 |
1 |
87 |
0 |
1 |
6 |
170 |

Arbitrage-Free Interpolation in Models of Market Observable Interest Rates |
0 |
9 |
17 |
600 |
5 |
17 |
47 |
1,487 |

Calibrating Market Model to Commodity and Interest Rate Risk |
0 |
0 |
6 |
15 |
0 |
3 |
26 |
42 |

Calibration of Multicurrency LIBOR Market Models |
0 |
0 |
0 |
65 |
0 |
2 |
8 |
172 |

Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets |
0 |
0 |
3 |
75 |
4 |
13 |
50 |
249 |

Correlating Market Models |
0 |
0 |
0 |
415 |
0 |
0 |
2 |
589 |

Empirical Hedging Performance on Long-dDted Crude Oil Derivatives |
0 |
0 |
33 |
33 |
0 |
1 |
30 |
30 |

Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? |
1 |
1 |
7 |
26 |
2 |
3 |
19 |
51 |

Equity-Linked Pension Schemes with Guarantees |
0 |
0 |
0 |
82 |
0 |
3 |
13 |
213 |

Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices |
0 |
0 |
0 |
130 |
2 |
2 |
4 |
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 |
3 |
1,375 |

Hedging Futures Options with Stochastic Interest Rates |
2 |
2 |
35 |
35 |
2 |
7 |
58 |
58 |

On Short Rate Processes and Their Implications for Term Structure Movements |
0 |
0 |
1 |
222 |
0 |
0 |
8 |
766 |

Pricing American Options under Regime Switching Using Method of Lines |
0 |
3 |
12 |
18 |
0 |
5 |
24 |
35 |

Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates |
2 |
3 |
19 |
32 |
5 |
6 |
37 |
69 |

Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives |
0 |
0 |
0 |
71 |
0 |
0 |
3 |
279 |

Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives |
0 |
1 |
1 |
416 |
0 |
1 |
10 |
1,655 |

Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model |
0 |
1 |
1 |
609 |
0 |
1 |
5 |
1,780 |

The Risk Management of Minimum Return Guarantees |
0 |
0 |
0 |
155 |
0 |
0 |
4 |
428 |

The Risk Management of Minimum Return Guarantees |
0 |
0 |
1 |
181 |
0 |
0 |
4 |
522 |

Zustandspreise und die Modellierung des Zinsänderungsrisikos |
0 |
0 |
0 |
1 |
1 |
3 |
11 |
643 |

Total Working Papers |
8 |
26 |
152 |
5,340 |
28 |
82 |
423 |
15,928 |