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 3 12 22 128
A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors 0 0 0 49 0 1 3 132
A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors 0 0 0 5 0 3 13 40
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 0 0 445 1 7 14 1,504
A Hybrid Commodity and Interest Rate 0 0 0 62 0 2 9 294
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 1 4 13 493
A Multicurrency Extension of the Lognormal Interest Rate Market Models 0 0 0 349 1 6 18 718
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 0 1 7 670
Alternative Defaultable Term Structure Models 0 1 1 88 1 5 14 208
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 1 2 5 713 4 9 22 1,856
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 0 0 0 9 1 6 14 40
Calibrating Market Model to Commodity and Interest Rate Risk 0 0 0 39 0 0 7 113
Calibration of Multicurrency LIBOR Market Models 1 1 1 73 2 3 7 204
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 0 0 0 102 1 2 20 385
Correlating Market Models 0 0 0 416 3 5 12 618
Empirical Hedging Performance on Long-Dated Crude Oil Derivatives 0 0 0 53 1 15 28 184
Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? 0 0 0 45 1 3 10 121
Equity-Linked Pension Schemes with Guarantees 0 0 0 97 1 2 7 278
Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices 0 0 0 133 0 3 9 317
Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing 0 0 0 157 0 3 12 439
Hedging Futures Options with Stochastic Interest Rates 0 0 0 87 0 8 15 250
If Not Now, Then When? Model Risk in the Optimal Exercise of American Options 2 14 14 14 6 13 13 13
Model Risk Measurement Under Wasserstein Distance 0 0 0 35 1 2 5 94
Model Risk Measurement under Wasserstein Distance 0 0 0 10 1 4 11 49
On Numerical Methods for Spread Options 0 0 2 66 1 2 11 178
Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation 0 0 0 15 1 1 6 22
Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation 0 0 0 51 1 2 7 96
Pricing American Options under Regime Switching Using Method of Lines 0 0 0 39 0 5 14 113
Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation 0 0 1 1 0 6 17 17
Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates 0 0 0 51 1 8 12 160
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models 0 0 0 10 1 6 13 38
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models 0 0 0 38 0 4 16 141
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 0 75 0 6 13 309
Short Rate Dynamics: A Fed Funds and SOFR Perspective 0 1 4 29 2 13 41 139
Short Rate Dynamics: A Fed Funds and SOFR perspective 0 0 0 27 4 11 31 106
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 0 0 1 616 2 8 23 1,832
Term Rates, Multicurve Term Structures and Overnight Rate Benchmarks: A Roll-Over Risk Approach 0 0 0 22 1 3 9 52
The Impact of Jumps on American Option Pricing: The S&P 100 Options Case 0 0 1 66 1 4 11 171
The Risk Management of Minimum Return Guarantees 0 0 1 183 0 1 11 553
The Risk Management of Minimum Return Guarantees 0 0 0 157 1 5 11 459
Total Working Papers 4 19 31 4,656 45 204 551 13,534

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 0 6 212
A Hyperbolic Bid Stack Approach to Electricity Price Modelling 0 0 0 2 0 3 16 28
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 0 0 0 1 3 7 20
A consistent stochastic model of the term structure of interest rates for multiple tenors 0 0 1 23 0 3 15 120
A hybrid commodity and interest rate market model 0 0 1 8 0 3 10 44
A multicurrency extension of the lognormal interest rate Market Models 0 1 1 453 1 4 10 1,253
A square root interest rate model fitting discrete initial term structure data 0 0 0 232 0 1 9 819
Alternative Defaultable Term Structure Models 0 1 1 2 0 3 11 32
Analysing Quantiles in Models of Forward Term Rates 0 0 0 0 0 3 5 8
Calibrating a market model with stochastic volatility to commodity and interest rate risk 0 0 0 4 0 1 7 28
Equity-linked pension schemes with guarantees 0 0 0 24 2 5 7 93
Interest rate risk in long‐dated commodity options positions: To hedge or not to hedge? 0 0 0 2 2 3 9 25
Lost in the LIBOR transition 0 0 0 0 0 5 14 16
Modifying Sequential Monte Carlo Optimisation for Index Tracking to Allow for Transaction Costs 0 0 0 0 1 6 14 14
ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM 0 0 1 38 2 5 15 110
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 0 0 0 74 0 2 12 324
Parameter Learning and Change Detection Using a Particle Filter with Accelerated Adaptation 0 0 0 1 0 2 10 19
Pricing of long-dated commodity derivatives: Do stochastic interest rates matter? 0 0 1 25 0 6 13 123
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models 0 0 0 9 2 8 20 65
Regime switching rough Heston model 0 0 1 6 0 5 17 50
SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL 0 0 0 2 1 7 12 25
SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates 1 4 8 12 3 15 43 56
TERM STRUCTURE MODELING OF SOFR: EVALUATING THE IMPORTANCE OF SCHEDULED JUMPS 1 3 7 7 2 9 24 24
Total Journal Articles 2 9 22 957 17 102 306 3,508

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 2 7 11 11
Total Chapters 0 0 0 0 2 7 11 11

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Statistics updated 2026-06-04