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 2 8 45 1 4 23 86
A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors 0 0 2 48 2 2 12 116
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 1 1 444 1 3 9 1,486
A Hybrid Commodity and Interest Rate 0 0 1 60 0 1 8 273
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 1 1 7 476
A Multicurrency Extension of the Lognormal Interest Rate Market Models 0 0 1 343 1 3 15 689
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 3 7 22 643
Alternative Defaultable Term Structure Models 0 0 0 87 0 0 8 190
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 2 9 17 672 6 22 70 1,692
Calibrating Market Model to Commodity and Interest Rate Risk 0 0 0 34 1 3 5 85
Calibration of Multicurrency LIBOR Market Models 0 0 1 69 0 0 2 187
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 2 3 6 97 5 7 21 348
Correlating Market Models 0 0 0 416 1 1 7 603
Empirical Hedging Performance on Long-Dated Crude Oil Derivatives 0 0 3 50 0 1 41 117
Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? 1 1 3 38 1 1 7 91
Equity-Linked Pension Schemes with Guarantees 0 1 5 96 0 4 16 266
Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices 0 0 0 131 0 0 4 303
Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing 0 0 1 157 0 0 3 425
Hedging Futures Options with Stochastic Interest Rates 0 1 5 76 1 6 31 206
Model Risk Measurement Under Wasserstein Distance 1 1 4 25 1 2 16 55
On Numerical Methods for Spread Options 1 2 5 53 1 4 16 139
Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation 1 2 2 50 1 3 10 82
Pricing American Options under Regime Switching Using Method of Lines 0 1 4 34 0 1 12 83
Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates 0 0 1 49 0 1 10 134
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models 1 3 10 31 3 6 38 91
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 1 73 0 0 1 285
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 0 0 1 613 0 1 8 1,796
Term Rates, Multicurve Term Structures and Overnight Rate Benchmarks: A Roll-Over Risk Approach 3 5 7 7 4 7 10 10
The Impact of Jumps on American Option Pricing: The S&P 100 Options Case 1 4 15 53 1 11 48 124
The Risk Management of Minimum Return Guarantees 0 0 1 156 0 2 7 443
The Risk Management of Minimum Return Guarantees 0 0 0 181 0 1 2 537
Total Working Papers 13 36 105 4,368 35 105 489 12,061

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 1 1 3 198
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 0 0 0 1 1 2 6
A consistent stochastic model of the term structure of interest rates for multiple tenors 2 4 4 4 4 8 12 12
A hybrid commodity and interest rate market model 0 0 0 3 2 2 5 26
A multicurrency extension of the lognormal interest rate Market Models 0 0 2 449 0 1 4 1,227
A square root interest rate model fitting discrete initial term structure data 0 0 0 229 0 2 4 787
Alternative Defaultable Term Structure Models 0 0 0 1 0 0 0 17
Calibrating a market model with stochastic volatility to commodity and interest rate risk 0 0 0 2 0 0 1 11
Equity-linked pension schemes with guarantees 0 1 2 24 3 4 11 71
Interest rate risk in long‐dated commodity options positions: To hedge or not to hedge? 0 0 1 1 0 0 3 7
ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM 1 1 14 21 2 5 35 63
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 0 0 9 69 1 4 28 277
Pricing of long-dated commodity derivatives: Do stochastic interest rates matter? 0 0 5 15 1 3 31 80
Regime switching rough Heston model 0 0 0 0 2 6 9 15
SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL 0 0 0 1 0 1 2 5
Total Journal Articles 3 6 37 851 17 38 150 2,802

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Statistics updated 2021-01-03