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 2 3 4 37 2 4 18 46
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 1 2 442 1 2 11 1,459
A Hybrid Commodity and Interest Rate 0 0 0 59 0 0 2 244
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 0 0 2 464
A Multicurrency Extension of the Lognormal Interest Rate Market Models 0 1 3 337 2 3 8 658
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 1 3 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 1 1 1 87 1 1 6 170
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 7 8 17 598 9 16 47 1,479
Calibrating Market Model to Commodity and Interest Rate Risk 0 0 9 15 1 4 33 40
Calibration of Multicurrency LIBOR Market Models 0 0 0 65 1 2 8 171
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 0 2 3 75 4 16 41 240
Correlating Market Models 0 0 0 415 0 0 2 589
Empirical Hedging Performance on Long-dDted Crude Oil Derivatives 0 1 33 33 1 6 30 30
Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? 0 2 7 25 1 3 20 49
Equity-Linked Pension Schemes with Guarantees 0 0 0 82 1 2 13 211
Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices 0 0 0 130 0 0 2 293
Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing 0 0 0 156 0 0 1 419
Factor Models and the Shape of the Term Structure 0 0 1 528 0 0 5 1,375
Hedging Futures Options with Stochastic Interest Rates 0 4 33 33 2 12 53 53
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 2 5 14 17 3 9 27 33
Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates 1 5 17 30 1 8 35 64
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 0 71 0 1 4 279
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 1 1 1 416 1 1 12 1,655
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 1 1 1 609 1 1 8 1,780
The Risk Management of Minimum Return Guarantees 0 0 2 181 0 0 5 522
The Risk Management of Minimum Return Guarantees 0 0 0 155 0 2 5 428
Zustandspreise und die Modellierung des Zinsänderungsrisikos 0 0 0 1 1 3 10 641
Total Working Papers 15 35 151 5,329 34 99 425 15,880


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 1 10 192
A hybrid commodity and interest rate market model 0 0 0 2 0 0 6 19
A multicurrency extension of the lognormal interest rate Market Models 0 0 1 444 0 0 5 1,209
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 4 12
Equity-linked pension schemes with guarantees 0 0 0 18 0 0 2 46
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 0 0 5 57 0 3 14 224
Total Journal Articles 0 0 6 782 0 4 42 2,477
1 registered items for which data could not be found


Statistics updated 2017-07-04