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 49 0 0 0 129
A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors 0 0 0 5 1 2 4 29
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 0 1 445 0 0 2 1,490
A Hybrid Commodity and Interest Rate 0 0 0 62 0 0 0 285
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 0 1 2 481
A Multicurrency Extension of the Lognormal Interest Rate Market Models 0 0 0 349 2 2 3 702
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 1 2 4 665
Alternative Defaultable Term Structure Models 0 0 0 87 1 1 2 195
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 0 0 3 9 1 2 10 28
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 0 1 12 709 3 5 41 1,839
Calibrating Market Model to Commodity and Interest Rate Risk 0 0 2 39 0 0 5 106
Calibration of Multicurrency LIBOR Market Models 0 0 1 72 0 0 2 197
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 1 3 607
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 1 1 272
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 1 1 428
Hedging Futures Options with Stochastic Interest Rates 0 0 1 87 0 1 3 236
Model Risk Measurement Under Wasserstein Distance 0 0 1 35 0 0 1 89
Model Risk Measurement under Wasserstein Distance 0 0 3 10 1 2 8 40
On Numerical Methods for Spread Options 0 1 2 65 0 1 4 168
Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation 0 0 0 15 0 0 0 16
Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation 0 0 0 51 0 2 2 91
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 0 1 148
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models 0 0 1 10 0 0 4 25
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models 0 0 2 38 1 1 4 126
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 0 1 4 26 1 3 19 101
Short Rate Dynamics: A Fed Funds and SOFR perspective 0 0 2 27 6 6 14 81
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 0 1 2 616 0 2 5 1,811
Term Rates, Multicurve Term Structures and Overnight Rate Benchmarks: A Roll-Over Risk Approach 0 0 0 22 0 1 1 44
The Impact of Jumps on American Option Pricing: The S&P 100 Options Case 0 1 1 66 0 2 5 162
The Risk Management of Minimum Return Guarantees 0 1 1 183 0 1 1 543
The Risk Management of Minimum Return Guarantees 0 0 0 157 0 0 1 448
Total Working Papers 0 6 46 4,631 18 40 170 13,023

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 2 3 14
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 0 0 0 0 1 1 14
A consistent stochastic model of the term structure of interest rates for multiple tenors 0 0 1 22 0 2 8 107
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 0 1 452 0 0 2 1,243
A square root interest rate model fitting discrete initial term structure data 0 0 1 232 0 2 7 812
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 0 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 2 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 1 3 3
Modifying Sequential Monte Carlo Optimisation for Index Tracking to Allow for Transaction Costs 0 0 0 0 2 4 4 4
ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM 0 0 1 37 0 0 2 95
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 0 0 0 74 1 2 7 314
Parameter Learning and Change Detection Using a Particle Filter with Accelerated Adaptation 0 0 0 1 0 1 3 10
Pricing of long-dated commodity derivatives: Do stochastic interest rates matter? 0 1 2 25 0 1 7 111
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models 0 0 1 9 0 3 9 48
Regime switching rough Heston model 0 0 1 5 1 1 6 34
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 1 2 6 6 3 7 19 20
Total Journal Articles 1 3 16 938 7 27 94 3,229

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Statistics updated 2025-09-05