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 1 49 0 0 3 106
A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors 0 0 0 5 0 1 2 27
A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors 0 0 0 49 0 0 1 129
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 0 1 445 0 1 2 1,490
A Hybrid Commodity and Interest Rate 0 0 0 62 0 0 2 285
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 0 0 1 480
A Multicurrency Extension of the Lognormal Interest Rate Market Models 0 0 0 349 0 0 1 700
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 0 0 2 663
Alternative Defaultable Term Structure Models 0 0 0 87 0 0 1 194
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 0 1 3 9 0 2 9 26
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 0 2 14 708 1 8 41 1,835
Calibrating Market Model to Commodity and Interest Rate Risk 0 1 2 39 0 2 7 106
Calibration of Multicurrency LIBOR Market Models 0 0 2 72 0 0 3 197
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 0 0 1 102 0 0 4 365
Correlating Market Models 0 0 0 416 0 0 2 606
Empirical Hedging Performance on Long-Dated Crude Oil Derivatives 0 0 1 53 0 0 2 156
Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? 0 0 1 45 0 0 3 111
Equity-Linked Pension Schemes with Guarantees 0 0 0 97 0 0 1 271
Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices 0 0 1 133 0 0 1 308
Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing 0 0 0 157 0 0 0 427
Hedging Futures Options with Stochastic Interest Rates 0 0 2 87 0 0 3 235
Model Risk Measurement Under Wasserstein Distance 0 1 1 35 0 1 2 89
Model Risk Measurement under Wasserstein Distance 0 1 3 10 0 3 6 38
On Numerical Methods for Spread Options 1 1 2 65 1 2 5 168
Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation 0 0 0 51 0 0 1 89
Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation 0 0 0 15 0 0 0 16
Pricing American Options under Regime Switching Using Method of Lines 0 0 1 39 0 0 2 99
Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates 0 0 0 51 0 1 1 148
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models 0 0 1 10 0 1 5 25
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models 0 2 2 38 0 2 3 125
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 1 75 0 0 2 296
Short Rate Dynamics: A Fed Funds and SOFR Perspective 1 2 4 26 2 5 20 100
Short Rate Dynamics: A Fed Funds and SOFR perspective 0 0 2 27 0 0 9 75
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 0 0 1 615 0 0 3 1,809
Term Rates, Multicurve Term Structures and Overnight Rate Benchmarks: A Roll-Over Risk Approach 0 0 0 22 1 1 1 44
The Impact of Jumps on American Option Pricing: The S&P 100 Options Case 1 1 1 66 1 1 4 161
The Risk Management of Minimum Return Guarantees 0 0 0 157 0 1 1 448
The Risk Management of Minimum Return Guarantees 0 0 0 182 0 0 0 542
Total Working Papers 3 12 48 4,628 6 32 156 12,989

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 1 33 0 0 1 206
A Hyperbolic Bid Stack Approach to Electricity Price Modelling 0 0 0 2 0 0 1 12
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 0 0 0 1 1 1 14
A consistent stochastic model of the term structure of interest rates for multiple tenors 0 0 1 22 0 0 6 105
A hybrid commodity and interest rate market model 0 0 0 7 0 0 1 34
A multicurrency extension of the lognormal interest rate Market Models 0 1 1 452 0 1 2 1,243
A square root interest rate model fitting discrete initial term structure data 0 0 1 232 1 1 7 811
Alternative Defaultable Term Structure Models 0 0 0 1 0 0 2 21
Analysing Quantiles in Models of Forward Term Rates 0 0 0 0 0 0 1 3
Calibrating a market model with stochastic volatility to commodity and interest rate risk 0 0 0 4 0 0 2 21
Equity-linked pension schemes with guarantees 0 0 0 24 0 0 3 86
Interest rate risk in long‐dated commodity options positions: To hedge or not to hedge? 0 0 0 2 0 0 1 16
Lost in the LIBOR transition 0 0 0 0 0 2 2 2
Modifying Sequential Monte Carlo Optimisation for Index Tracking to Allow for Transaction Costs 0 0 0 0 1 1 1 1
ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM 0 0 2 37 0 0 4 95
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 0 0 0 74 1 1 6 313
Parameter Learning and Change Detection Using a Particle Filter with Accelerated Adaptation 0 0 0 1 0 1 3 9
Pricing of long-dated commodity derivatives: Do stochastic interest rates matter? 0 0 1 24 0 1 7 110
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models 0 0 1 9 2 4 10 47
Regime switching rough Heston model 0 1 1 5 0 2 6 33
SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL 0 0 1 2 0 0 4 13
SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates 0 1 4 4 0 5 12 13
Total Journal Articles 0 3 14 935 6 20 83 3,208

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Statistics updated 2025-07-04