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 0 49 1 6 25 131
A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors 0 0 0 49 0 0 3 132
A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors 0 0 0 5 0 0 12 40
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 0 0 445 0 1 14 1,504
A Hybrid Commodity and Interest Rate 0 0 0 62 0 0 9 294
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 0 1 12 493
A Multicurrency Extension of the Lognormal Interest Rate Market Models 0 0 0 349 0 1 18 718
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 1 1 7 671
Alternative Defaultable Term Structure Models 0 0 1 88 1 2 15 209
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 0 1 4 713 1 8 24 1,860
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 0 0 0 9 1 2 14 41
Calibrating Market Model to Commodity and Interest Rate Risk 0 0 0 39 0 0 7 113
Calibration of Multicurrency LIBOR Market Models 0 1 1 73 0 2 7 204
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 0 0 0 102 0 2 21 386
Correlating Market Models 0 0 0 416 0 3 11 618
Empirical Hedging Performance on Long-Dated Crude Oil Derivatives 0 0 0 53 1 3 30 186
Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? 0 0 0 45 0 1 10 121
Equity-Linked Pension Schemes with Guarantees 0 0 0 97 0 1 6 278
Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices 0 0 0 133 0 0 9 317
Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing 0 0 0 157 0 0 11 439
Hedging Futures Options with Stochastic Interest Rates 1 1 1 88 1 1 15 251
If Not Now, Then When? Model Risk in the Optimal Exercise of American Options 1 3 15 15 2 9 16 16
Model Risk Measurement Under Wasserstein Distance 0 0 0 35 0 1 5 94
Model Risk Measurement under Wasserstein Distance 0 0 0 10 1 3 12 51
On Numerical Methods for Spread Options 0 0 1 66 0 1 10 178
Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation 0 0 0 51 0 1 5 96
Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation 0 0 0 15 0 1 6 22
Pricing American Options under Regime Switching Using Method of Lines 0 0 0 39 0 0 14 113
Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation 0 0 1 1 1 1 18 18
Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates 1 1 1 52 2 3 14 162
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models 0 0 0 38 0 0 16 141
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models 0 0 0 10 2 4 16 41
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 0 75 2 2 15 311
Short Rate Dynamics: A Fed Funds and SOFR Perspective 0 0 3 29 0 4 41 141
Short Rate Dynamics: A Fed Funds and SOFR perspective 0 0 0 27 0 4 31 106
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 0 0 0 616 0 2 21 1,832
Term Rates, Multicurve Term Structures and Overnight Rate Benchmarks: A Roll-Over Risk Approach 0 0 0 22 0 1 8 52
The Impact of Jumps on American Option Pricing: The S&P 100 Options Case 0 0 0 66 1 2 10 172
The Risk Management of Minimum Return Guarantees 0 0 0 157 0 1 11 459
The Risk Management of Minimum Return Guarantees 0 0 0 183 0 0 10 553
Total Working Papers 3 7 28 4,659 18 75 559 13,564

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 33 0 0 6 212
A Hyperbolic Bid Stack Approach to Electricity Price Modelling 0 0 0 2 0 1 15 29
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 0 0 0 0 1 6 20
A consistent stochastic model of the term structure of interest rates for multiple tenors 0 0 1 23 0 0 13 120
A hybrid commodity and interest rate market model 0 0 1 8 0 0 10 44
A multicurrency extension of the lognormal interest rate Market Models 0 0 1 453 0 2 11 1,254
A square root interest rate model fitting discrete initial term structure data 0 0 0 232 1 2 9 821
Alternative Defaultable Term Structure Models 0 0 1 2 1 1 12 33
Analysing Quantiles in Models of Forward Term Rates 0 0 0 0 0 0 5 8
Calibrating a market model with stochastic volatility to commodity and interest rate risk 0 0 0 4 0 0 7 28
Equity-linked pension schemes with guarantees 0 0 0 24 1 3 8 94
Implementing Neural SDEs for Data-Driven Dynamics of the Bitcoin Option Surface 0 0 0 0 1 1 1 1
Interest rate risk in long‐dated commodity options positions: To hedge or not to hedge? 0 0 0 2 0 2 9 25
Lost in the LIBOR transition 0 0 0 0 0 0 13 16
Modifying Sequential Monte Carlo Optimisation for Index Tracking to Allow for Transaction Costs 0 0 0 0 0 1 12 14
ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM 0 1 2 39 0 3 16 111
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 0 0 0 74 0 0 11 324
Parameter Learning and Change Detection Using a Particle Filter with Accelerated Adaptation 0 0 0 1 0 0 9 19
Pricing of long-dated commodity derivatives: Do stochastic interest rates matter? 0 0 0 25 1 1 13 124
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models 0 0 0 9 0 2 17 65
Regime switching rough Heston model 0 0 1 6 1 1 18 51
SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL 0 0 0 2 0 1 12 25
SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates 0 2 8 13 1 8 44 61
TERM STRUCTURE MODELING OF SOFR: EVALUATING THE IMPORTANCE OF SCHEDULED JUMPS 0 2 7 8 0 3 24 25
Total Journal Articles 0 5 22 960 7 33 301 3,524

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Lognormal Forward Market Model (LFM) Volatility Function Approximation 0 0 0 0 0 3 12 12
Total Chapters 0 0 0 0 0 3 12 12

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Statistics updated 2026-08-07