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 1 4 108
A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors 0 0 0 5 1 3 6 32
A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors 0 0 0 49 0 2 2 131
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 0 1 445 1 3 5 1,493
A Hybrid Commodity and Interest Rate 0 0 0 62 1 3 3 288
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 2 4 6 485
A Multicurrency Extension of the Lognormal Interest Rate Market Models 0 0 0 349 0 2 5 704
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 1 1 3 666
Alternative Defaultable Term Structure Models 0 0 0 87 3 7 9 202
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 0 0 6 710 2 3 26 1,843
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 0 0 2 9 1 2 10 30
Calibrating Market Model to Commodity and Interest Rate Risk 0 0 2 39 0 2 6 108
Calibration of Multicurrency LIBOR Market Models 0 0 1 72 2 2 4 199
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 0 0 1 102 6 11 14 376
Correlating Market Models 0 0 0 416 2 4 7 611
Empirical Hedging Performance on Long-Dated Crude Oil Derivatives 0 0 1 53 2 4 7 161
Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? 0 0 1 45 3 3 6 115
Equity-Linked Pension Schemes with Guarantees 0 0 0 97 0 1 2 273
Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices 0 0 1 133 2 3 4 311
Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing 0 0 0 157 4 6 7 434
Hedging Futures Options with Stochastic Interest Rates 0 0 1 87 0 3 6 239
Model Risk Measurement Under Wasserstein Distance 0 0 1 35 1 1 2 90
Model Risk Measurement under Wasserstein Distance 0 0 2 10 0 1 8 41
On Numerical Methods for Spread Options 0 0 3 66 2 3 8 172
Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation 0 0 0 51 1 2 4 93
Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation 0 0 0 15 0 1 1 17
Pricing American Options under Regime Switching Using Method of Lines 0 0 1 39 0 2 5 102
Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation 0 0 0 0 1 3 5 5
Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates 0 0 0 51 1 2 3 150
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models 0 0 1 10 3 6 10 31
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models 0 0 2 38 2 5 9 132
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 1 75 2 3 5 299
Short Rate Dynamics: A Fed Funds and SOFR Perspective 0 1 3 27 3 10 22 112
Short Rate Dynamics: A Fed Funds and SOFR perspective 0 0 2 27 2 7 15 88
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 0 0 2 616 2 5 10 1,816
Term Rates, Multicurve Term Structures and Overnight Rate Benchmarks: A Roll-Over Risk Approach 0 0 0 22 3 3 4 47
The Impact of Jumps on American Option Pricing: The S&P 100 Options Case 0 0 1 66 1 3 7 165
The Risk Management of Minimum Return Guarantees 0 0 0 157 1 2 3 450
The Risk Management of Minimum Return Guarantees 0 0 1 183 2 4 5 547
Total Working Papers 0 1 38 4,634 60 133 268 13,166

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 1 2 207
A Hyperbolic Bid Stack Approach to Electricity Price Modelling 0 0 0 2 1 1 4 16
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 0 0 0 0 0 1 14
A consistent stochastic model of the term structure of interest rates for multiple tenors 0 0 1 22 1 5 12 112
A hybrid commodity and interest rate market model 0 1 1 8 1 3 4 37
A multicurrency extension of the lognormal interest rate Market Models 0 0 1 452 1 5 6 1,248
A square root interest rate model fitting discrete initial term structure data 0 0 1 232 1 1 7 814
Alternative Defaultable Term Structure Models 0 0 0 1 2 5 6 26
Analysing Quantiles in Models of Forward Term Rates 0 0 0 0 0 0 1 4
Calibrating a market model with stochastic volatility to commodity and interest rate risk 0 0 0 4 2 3 3 24
Equity-linked pension schemes with guarantees 0 0 0 24 0 1 3 87
Interest rate risk in long‐dated commodity options positions: To hedge or not to hedge? 0 0 0 2 0 1 2 17
Lost in the LIBOR transition 0 0 0 0 3 4 8 8
Modifying Sequential Monte Carlo Optimisation for Index Tracking to Allow for Transaction Costs 0 0 0 0 1 1 5 5
ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM 0 1 1 38 2 4 5 99
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 0 0 0 74 1 5 9 319
Parameter Learning and Change Detection Using a Particle Filter with Accelerated Adaptation 0 0 0 1 1 2 5 12
Pricing of long-dated commodity derivatives: Do stochastic interest rates matter? 0 0 1 25 0 4 9 115
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models 0 0 0 9 4 6 12 54
Regime switching rough Heston model 1 1 2 6 4 6 10 40
SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL 0 0 1 2 1 1 5 14
SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates 0 1 4 7 1 6 19 27
TERM STRUCTURE MODELING OF SOFR: EVALUATING THE IMPORTANCE OF SCHEDULED JUMPS 1 2 3 3 2 3 6 6
Total Journal Articles 2 6 17 945 29 68 144 3,305

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Statistics updated 2026-01-09