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 1 49 1 2 4 108
A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors 0 0 0 49 1 2 2 131
A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors 0 0 0 5 2 2 5 31
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 0 1 445 2 2 4 1,492
A Hybrid Commodity and Interest Rate 0 0 0 62 1 2 2 287
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 1 2 4 483
A Multicurrency Extension of the Lognormal Interest Rate Market Models 0 0 0 349 0 2 5 704
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 0 0 2 665
Alternative Defaultable Term Structure Models 0 0 0 87 3 4 6 199
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 0 0 2 9 1 1 9 29
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 0 1 8 710 1 2 28 1,841
Calibrating Market Model to Commodity and Interest Rate Risk 0 0 2 39 2 2 7 108
Calibration of Multicurrency LIBOR Market Models 0 0 1 72 0 0 2 197
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 0 0 1 102 3 5 8 370
Correlating Market Models 0 0 0 416 1 2 5 609
Empirical Hedging Performance on Long-Dated Crude Oil Derivatives 0 0 1 53 0 3 5 159
Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? 0 0 1 45 0 1 4 112
Equity-Linked Pension Schemes with Guarantees 0 0 0 97 0 1 2 273
Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices 0 0 1 133 0 1 2 309
Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing 0 0 0 157 0 2 3 430
Hedging Futures Options with Stochastic Interest Rates 0 0 1 87 2 3 6 239
Model Risk Measurement Under Wasserstein Distance 0 0 1 35 0 0 1 89
Model Risk Measurement under Wasserstein Distance 0 0 3 10 0 1 9 41
On Numerical Methods for Spread Options 0 1 3 66 0 2 6 170
Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation 0 0 0 51 1 1 3 92
Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation 0 0 0 15 1 1 1 17
Pricing American Options under Regime Switching Using Method of Lines 0 0 1 39 2 3 5 102
Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation 0 0 0 0 2 3 4 4
Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates 0 0 0 51 1 1 2 149
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models 0 0 1 10 0 3 7 28
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models 0 0 2 38 2 4 7 130
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 1 75 1 1 3 297
Short Rate Dynamics: A Fed Funds and SOFR Perspective 0 1 4 27 2 8 20 109
Short Rate Dynamics: A Fed Funds and SOFR perspective 0 0 2 27 2 5 17 86
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 0 0 2 616 1 3 8 1,814
Term Rates, Multicurve Term Structures and Overnight Rate Benchmarks: A Roll-Over Risk Approach 0 0 0 22 0 0 1 44
The Impact of Jumps on American Option Pricing: The S&P 100 Options Case 0 0 1 66 1 2 6 164
The Risk Management of Minimum Return Guarantees 0 0 1 183 0 2 3 545
The Risk Management of Minimum Return Guarantees 0 0 0 157 1 1 2 449
Total Working Papers 0 3 42 4,634 38 82 220 13,106

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 1 33 0 1 2 207
A Hyperbolic Bid Stack Approach to Electricity Price Modelling 0 0 0 2 0 1 3 15
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 0 0 0 0 0 1 14
A consistent stochastic model of the term structure of interest rates for multiple tenors 0 0 1 22 3 4 11 111
A hybrid commodity and interest rate market model 1 1 1 8 1 2 3 36
A multicurrency extension of the lognormal interest rate Market Models 0 0 1 452 1 4 5 1,247
A square root interest rate model fitting discrete initial term structure data 0 0 1 232 0 1 6 813
Alternative Defaultable Term Structure Models 0 0 0 1 2 3 5 24
Analysing Quantiles in Models of Forward Term Rates 0 0 0 0 0 1 1 4
Calibrating a market model with stochastic volatility to commodity and interest rate risk 0 0 0 4 0 1 1 22
Equity-linked pension schemes with guarantees 0 0 0 24 1 1 3 87
Interest rate risk in long‐dated commodity options positions: To hedge or not to hedge? 0 0 0 2 1 1 2 17
Lost in the LIBOR transition 0 0 0 0 0 2 5 5
Modifying Sequential Monte Carlo Optimisation for Index Tracking to Allow for Transaction Costs 0 0 0 0 0 0 4 4
ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM 1 1 1 38 2 2 3 97
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 0 0 0 74 1 4 8 318
Parameter Learning and Change Detection Using a Particle Filter with Accelerated Adaptation 0 0 0 1 1 1 4 11
Pricing of long-dated commodity derivatives: Do stochastic interest rates matter? 0 0 1 25 2 4 10 115
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models 0 0 0 9 2 2 9 50
Regime switching rough Heston model 0 0 1 5 1 2 7 36
SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL 0 0 1 2 0 0 4 13
SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates 0 1 5 7 3 6 20 26
TERM STRUCTURE MODELING OF SOFR: EVALUATING THE IMPORTANCE OF SCHEDULED JUMPS 0 1 2 2 0 2 4 4
Total Journal Articles 2 4 16 943 21 45 121 3,276

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Statistics updated 2025-12-06