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 4 37 0 2 11 49
A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors 2 6 18 18 5 23 42 42
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 0 2 442 0 0 8 1,461
A Hybrid Commodity and Interest Rate 0 0 0 59 0 1 2 245
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 0 0 0 464
A Multicurrency Extension of the Lognormal Interest Rate Market Models 0 0 3 338 1 1 11 665
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 1 1 6 599
A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates 0 0 1 330 0 0 1 1,125
Alternative Defaultable Term Structure Models 0 0 1 87 0 0 4 171
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 3 8 23 610 4 12 52 1,505
Calibrating Market Model to Commodity and Interest Rate Risk 2 2 6 18 2 2 17 47
Calibration of Multicurrency LIBOR Market Models 0 0 0 65 0 1 7 173
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 0 3 6 78 7 22 66 275
Correlating Market Models 0 0 0 415 0 0 2 589
Empirical Hedging Performance on Long-dDted Crude Oil Derivatives 1 3 8 38 1 6 27 40
Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? 2 2 5 28 2 3 13 55
Equity-Linked Pension Schemes with Guarantees 1 3 4 86 3 9 21 225
Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices 0 0 0 130 0 0 3 295
Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing 0 0 0 156 1 1 1 420
Factor Models and the Shape of the Term Structure 0 0 1 528 0 0 1 1,375
Hedging Futures Options with Stochastic Interest Rates 1 5 29 45 3 11 61 76
On Short Rate Processes and Their Implications for Term Structure Movements 0 0 0 222 1 1 1 767
Pricing American Options under Regime Switching Using Method of Lines 1 3 13 22 3 10 26 46
Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates 4 5 16 38 6 7 33 80
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 0 71 0 0 2 279
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 1 416 0 0 1 1,655
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 0 0 1 609 0 3 5 1,783
The Risk Management of Minimum Return Guarantees 0 0 1 181 0 0 2 522
The Risk Management of Minimum Return Guarantees 0 0 0 155 0 1 4 430
Zustandspreise und die Modellierung des Zinsänderungsrisikos 0 0 0 1 1 3 12 647
Total Working Papers 17 40 143 5,403 41 120 442 16,105


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 0 3 193
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 0 0 0 0 0 0 0
A hybrid commodity and interest rate market model 0 0 0 2 0 0 1 19
A multicurrency extension of the lognormal interest rate Market Models 0 0 0 444 0 0 4 1,211
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 1 1 1 1 1 1 1 13
Equity-linked pension schemes with guarantees 1 1 1 19 1 5 7 52
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 0 0 2 57 0 2 12 229
Total Journal Articles 2 2 4 784 2 8 29 2,492


Statistics updated 2018-01-04