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 1 1 49 0 2 3 106
A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors 0 0 0 49 0 0 2 129
A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors 0 0 0 5 0 0 1 26
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 1 1 445 0 1 1 1,489
A Hybrid Commodity and Interest Rate 0 0 0 62 0 0 3 285
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 0 1 2 480
A Multicurrency Extension of the Lognormal Interest Rate Market Models 0 0 1 349 0 1 2 700
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 0 0 2 663
Alternative Defaultable Term Structure Models 0 0 0 87 0 1 1 194
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 0 1 2 8 0 4 8 24
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 1 2 12 706 2 10 38 1,827
Calibrating Market Model to Commodity and Interest Rate Risk 0 1 1 38 0 2 6 104
Calibration of Multicurrency LIBOR Market Models 0 1 2 72 0 2 3 197
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 0 1 1 102 0 3 4 365
Correlating Market Models 0 0 0 416 0 2 2 606
Empirical Hedging Performance on Long-Dated Crude Oil Derivatives 0 1 1 53 0 2 2 156
Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? 0 1 1 45 0 2 3 111
Equity-Linked Pension Schemes with Guarantees 0 0 0 97 0 0 1 271
Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices 0 1 2 133 0 1 2 308
Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing 0 0 0 157 0 0 0 427
Hedging Futures Options with Stochastic Interest Rates 0 1 2 87 0 2 5 235
Model Risk Measurement Under Wasserstein Distance 0 0 0 34 0 0 1 88
Model Risk Measurement under Wasserstein Distance 0 1 2 9 0 2 3 35
On Numerical Methods for Spread Options 0 1 1 64 0 2 6 166
Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation 0 0 0 51 0 0 1 89
Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation 0 0 0 15 0 0 0 16
Pricing American Options under Regime Switching Using Method of Lines 0 1 1 39 0 2 3 99
Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates 0 0 0 51 0 0 0 147
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models 0 1 1 10 0 3 5 24
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models 0 0 0 36 0 0 1 123
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 1 1 75 0 2 2 296
Short Rate Dynamics: A Fed Funds and SOFR Perspective 0 0 4 24 0 5 24 95
Short Rate Dynamics: A Fed Funds and SOFR perspective 0 2 2 27 0 2 10 75
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 0 1 1 615 1 3 3 1,809
Term Rates, Multicurve Term Structures and Overnight Rate Benchmarks: A Roll-Over Risk Approach 0 0 2 22 0 0 3 43
The Impact of Jumps on American Option Pricing: The S&P 100 Options Case 0 0 0 65 0 2 4 160
The Risk Management of Minimum Return Guarantees 0 0 0 157 0 0 0 447
The Risk Management of Minimum Return Guarantees 0 0 0 182 0 0 0 542
Total Working Papers 1 20 42 4,616 3 59 157 12,957

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 1 1 33 0 1 2 206
A Hyperbolic Bid Stack Approach to Electricity Price Modelling 0 0 0 2 0 0 4 12
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 0 0 0 0 0 0 13
A consistent stochastic model of the term structure of interest rates for multiple tenors 0 1 1 22 2 5 7 105
A hybrid commodity and interest rate market model 0 0 0 7 1 1 1 34
A multicurrency extension of the lognormal interest rate Market Models 0 0 0 451 0 0 2 1,242
A square root interest rate model fitting discrete initial term structure data 0 1 1 232 1 3 6 810
Alternative Defaultable Term Structure Models 0 0 0 1 0 1 2 21
Analysing Quantiles in Models of Forward Term Rates 0 0 0 0 0 0 2 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 2 3 86
Interest rate risk in long‐dated commodity options positions: To hedge or not to hedge? 0 0 0 2 0 1 1 16
Modifying Sequential Monte Carlo Optimisation for Index Tracking to Allow for Transaction Costs 0 0 0 0 0 0 0 0
ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM 0 0 4 37 0 1 7 95
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 0 0 0 74 2 2 7 312
Parameter Learning and Change Detection Using a Particle Filter with Accelerated Adaptation 0 0 0 1 0 1 3 8
Pricing of long-dated commodity derivatives: Do stochastic interest rates matter? 0 0 1 24 1 3 7 109
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models 0 0 1 9 0 1 8 43
Regime switching rough Heston model 0 0 0 4 0 1 4 31
SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL 0 1 1 2 1 4 4 13
SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates 0 0 3 3 0 0 8 8
Total Journal Articles 0 4 13 932 8 27 80 3,188

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

Statistics updated 2025-04-04