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 49 2 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 1 1 1 445 1 1 1 1,489
A Hybrid Commodity and Interest Rate 0 0 1 62 0 0 4 285
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 1 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 1 1 1 194
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 1 1 2 8 4 4 8 24
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 1 3 11 705 5 12 38 1,825
Calibrating Market Model to Commodity and Interest Rate Risk 1 1 1 38 2 3 6 104
Calibration of Multicurrency LIBOR Market Models 1 1 2 72 2 2 3 197
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 1 1 1 102 2 3 4 365
Correlating Market Models 0 0 0 416 1 2 2 606
Empirical Hedging Performance on Long-Dated Crude Oil Derivatives 1 1 1 53 2 2 4 156
Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? 0 1 1 45 1 3 4 111
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 1 1 2 133 1 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 1 1 3 87 2 2 7 235
Model Risk Measurement Under Wasserstein Distance 0 0 0 34 0 0 1 88
Model Risk Measurement under Wasserstein Distance 1 2 2 9 2 3 4 35
On Numerical Methods for Spread Options 1 1 2 64 2 2 7 166
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 1 16
Pricing American Options under Regime Switching Using Method of Lines 1 1 1 39 2 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 1 1 1 10 3 3 6 24
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models 0 0 0 36 0 0 2 123
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 1 1 1 75 2 2 2 296
Short Rate Dynamics: A Fed Funds and SOFR Perspective 0 1 4 24 4 6 25 95
Short Rate Dynamics: A Fed Funds and SOFR perspective 1 2 2 27 1 6 11 75
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 0 1 1 615 1 2 2 1,808
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 2 2 5 160
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 16 23 44 4,615 46 68 170 12,954

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 1 1 1 33 1 1 2 206
A Hyperbolic Bid Stack Approach to Electricity Price Modelling 0 0 2 2 0 0 7 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 1 1 1 22 3 3 5 103
A hybrid commodity and interest rate market model 0 0 0 7 0 0 0 33
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 1 1 2 232 2 2 6 809
Alternative Defaultable Term Structure Models 0 0 0 1 1 2 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 3 21
Equity-linked pension schemes with guarantees 0 0 0 24 2 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 1 1 7 95
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 0 0 1 74 0 0 7 310
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 7 108
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models 0 0 1 9 0 2 9 43
Regime switching rough Heston model 0 0 1 4 1 2 5 31
SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL 0 1 1 2 2 3 3 12
SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates 0 1 3 3 0 2 8 8
Total Journal Articles 3 5 18 932 14 25 82 3,180

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Statistics updated 2025-03-03