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 7 15 17 123
A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors 0 0 0 5 1 6 12 38
A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors 0 0 0 49 1 1 3 132
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 0 0 445 1 5 9 1,498
A Hybrid Commodity and Interest Rate 0 0 0 62 0 4 7 292
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 1 5 10 490
A Multicurrency Extension of the Lognormal Interest Rate Market Models 0 0 0 349 2 10 14 714
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 0 3 6 669
Alternative Defaultable Term Structure Models 0 0 0 87 1 2 10 204
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 0 1 5 711 0 4 20 1,847
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 0 0 1 9 1 5 11 35
Calibrating Market Model to Commodity and Interest Rate Risk 0 0 1 39 0 5 9 113
Calibration of Multicurrency LIBOR Market Models 0 0 0 72 1 3 5 202
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 0 0 0 102 1 8 19 384
Correlating Market Models 0 0 0 416 0 2 7 613
Empirical Hedging Performance on Long-Dated Crude Oil Derivatives 0 0 0 53 12 20 25 181
Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? 0 0 0 45 0 3 7 118
Equity-Linked Pension Schemes with Guarantees 0 0 0 97 1 4 6 277
Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices 0 0 0 133 0 3 6 314
Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing 0 0 0 157 1 3 10 437
Hedging Futures Options with Stochastic Interest Rates 0 0 0 87 2 5 9 244
Model Risk Measurement Under Wasserstein Distance 0 0 1 35 1 3 5 93
Model Risk Measurement under Wasserstein Distance 0 0 1 10 0 4 10 45
On Numerical Methods for Spread Options 0 0 2 66 0 4 10 176
Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation 0 0 0 51 0 1 5 94
Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation 0 0 0 15 0 4 5 21
Pricing American Options under Regime Switching Using Method of Lines 0 0 0 39 2 8 11 110
Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation 0 1 1 1 2 8 13 13
Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates 0 0 0 51 1 3 6 153
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models 0 0 0 10 0 1 8 32
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models 0 0 2 38 1 6 15 138
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 0 75 0 4 7 303
Short Rate Dynamics: A Fed Funds and SOFR Perspective 1 2 5 29 7 21 38 133
Short Rate Dynamics: A Fed Funds and SOFR perspective 0 0 0 27 4 11 24 99
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 0 0 1 616 2 10 17 1,826
Term Rates, Multicurve Term Structures and Overnight Rate Benchmarks: A Roll-Over Risk Approach 0 0 0 22 0 2 6 49
The Impact of Jumps on American Option Pricing: The S&P 100 Options Case 0 0 1 66 0 2 7 167
The Risk Management of Minimum Return Guarantees 0 0 0 157 2 6 9 456
The Risk Management of Minimum Return Guarantees 0 0 1 183 0 5 10 552
Total Working Papers 1 4 22 4,638 55 219 428 13,385

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 5 6 212
A Hyperbolic Bid Stack Approach to Electricity Price Modelling 0 0 0 2 0 9 13 25
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 0 0 0 1 4 5 18
A consistent stochastic model of the term structure of interest rates for multiple tenors 0 1 1 23 2 7 14 119
A hybrid commodity and interest rate market model 0 0 1 8 1 5 8 42
A multicurrency extension of the lognormal interest rate Market Models 1 1 2 453 1 2 8 1,250
A square root interest rate model fitting discrete initial term structure data 0 0 0 232 0 4 8 818
Alternative Defaultable Term Structure Models 0 0 0 1 1 4 9 30
Analysing Quantiles in Models of Forward Term Rates 0 0 0 0 1 2 3 6
Calibrating a market model with stochastic volatility to commodity and interest rate risk 0 0 0 4 0 3 6 27
Equity-linked pension schemes with guarantees 0 0 0 24 0 1 2 88
Interest rate risk in long‐dated commodity options positions: To hedge or not to hedge? 0 0 0 2 1 6 7 23
Lost in the LIBOR transition 0 0 0 0 1 4 12 12
Modifying Sequential Monte Carlo Optimisation for Index Tracking to Allow for Transaction Costs 0 0 0 0 2 5 10 10
ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM 0 0 1 38 0 6 10 105
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 0 0 0 74 1 4 11 323
Parameter Learning and Change Detection Using a Particle Filter with Accelerated Adaptation 0 0 0 1 1 6 10 18
Pricing of long-dated commodity derivatives: Do stochastic interest rates matter? 0 0 1 25 3 5 11 120
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models 0 0 0 9 2 5 16 59
Regime switching rough Heston model 0 0 2 6 1 6 15 46
SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL 0 0 0 2 0 4 5 18
SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates 1 2 6 9 3 17 36 44
TERM STRUCTURE MODELING OF SOFR: EVALUATING THE IMPORTANCE OF SCHEDULED JUMPS 2 3 6 6 5 14 20 20
Total Journal Articles 4 7 20 952 27 128 245 3,433

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Statistics updated 2026-04-09