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 1 1 1 50 8 11 33 139
A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors 1 1 1 50 3 3 6 135
A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors 0 0 0 5 0 0 11 40
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 0 0 445 1 1 15 1,505
A Hybrid Commodity and Interest Rate 1 1 1 63 1 1 10 295
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 0 0 12 493
A Multicurrency Extension of the Lognormal Interest Rate Market Models 0 0 0 349 0 0 16 718
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 0 1 6 671
Alternative Defaultable Term Structure Models 0 0 1 88 0 1 14 209
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 0 0 0 9 1 2 14 42
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 0 0 4 713 0 4 21 1,860
Calibrating Market Model to Commodity and Interest Rate Risk 0 0 0 39 1 1 8 114
Calibration of Multicurrency LIBOR Market Models 0 0 1 73 4 4 11 208
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 0 0 0 102 0 1 21 386
Correlating Market Models 0 0 0 416 0 0 11 618
Empirical Hedging Performance on Long-Dated Crude Oil Derivatives 0 0 0 53 1 3 31 187
Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? 0 0 0 45 0 0 10 121
Equity-Linked Pension Schemes with Guarantees 0 0 0 97 9 9 15 287
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 0 1 1 88 0 1 15 251
If Not Now, Then When? Model Risk in the Optimal Exercise of American Options 0 1 15 15 2 5 18 18
Model Risk Measurement Under Wasserstein Distance 0 0 0 35 1 1 6 95
Model Risk Measurement under Wasserstein Distance 0 0 0 10 0 2 11 51
On Numerical Methods for Spread Options 0 0 1 66 0 0 10 178
Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation 0 0 0 15 1 1 7 23
Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation 0 0 0 51 0 0 5 96
Pricing American Options under Regime Switching Using Method of Lines 0 0 0 39 1 1 15 114
Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation 0 0 1 1 1 2 18 19
Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates 0 1 1 52 2 4 16 164
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models 0 0 0 38 1 1 16 142
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models 0 0 0 10 1 4 17 42
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 0 75 7 9 22 318
Short Rate Dynamics: A Fed Funds and SOFR Perspective 0 0 3 29 6 8 46 147
Short Rate Dynamics: A Fed Funds and SOFR perspective 0 0 0 27 3 3 28 109
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 0 0 0 616 0 0 21 1,832
Term Rates, Multicurve Term Structures and Overnight Rate Benchmarks: A Roll-Over Risk Approach 0 0 0 22 0 0 8 52
The Impact of Jumps on American Option Pricing: The S&P 100 Options Case 0 0 0 66 10 11 20 182
The Risk Management of Minimum Return Guarantees 0 0 0 157 0 0 11 459
The Risk Management of Minimum Return Guarantees 0 0 0 183 2 2 12 555
Total Working Papers 3 6 31 4,662 67 97 607 13,631

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 1 1 7 213
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 0 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 1 2 12 1,255
A square root interest rate model fitting discrete initial term structure data 0 0 0 232 0 2 9 821
Alternative Defaultable Term Structure Models 0 0 1 2 1 2 13 34
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 0 1 8 94
Implementing Neural SDEs for Data-Driven Dynamics of the Bitcoin Option Surface 0 0 0 0 0 1 1 1
Interest rate risk in long‐dated commodity options positions: To hedge or not to hedge? 0 0 0 2 0 0 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 0 10 14
ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM 0 1 2 39 0 1 16 111
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 0 0 0 74 0 0 10 324
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 0 1 13 124
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models 0 0 0 9 2 2 19 67
Regime switching rough Heston model 0 0 1 6 0 1 17 51
SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL 0 0 0 2 0 0 12 25
SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates 0 1 7 13 0 5 41 61
TERM STRUCTURE MODELING OF SOFR: EVALUATING THE IMPORTANCE OF SCHEDULED JUMPS 0 1 7 8 2 3 25 27
Total Journal Articles 0 3 21 960 7 23 300 3,531

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 1 12 12
Total Chapters 0 0 0 0 0 1 12 12

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Since October 2025, abstract view statistics are potentially heavily influenced by traffic from AI bots and tools that we could not eliminate despite our best efforts.

Statistics updated 2026-09-10