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 48 0 0 0 103
A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors 0 0 0 49 0 1 1 128
A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors 0 0 1 5 0 0 1 25
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 0 0 444 0 0 0 1,488
A Hybrid Commodity and Interest Rate 0 0 1 62 1 1 3 283
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 1 1 2 479
A Multicurrency Extension of the Lognormal Interest Rate Market Models 0 1 1 349 0 1 2 699
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 0 0 1 661
Alternative Defaultable Term Structure Models 0 0 0 87 0 0 0 193
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 0 0 3 694 1 5 25 1,794
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 0 0 0 6 1 1 2 17
Calibrating Market Model to Commodity and Interest Rate Risk 0 0 0 37 1 1 2 99
Calibration of Multicurrency LIBOR Market Models 0 0 0 70 0 0 0 194
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 0 0 0 101 0 0 0 361
Correlating Market Models 0 0 0 416 0 0 0 604
Empirical Hedging Performance on Long-Dated Crude Oil Derivatives 0 0 1 52 0 0 4 154
Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? 0 0 2 44 0 0 3 108
Equity-Linked Pension Schemes with Guarantees 0 0 0 97 0 0 0 270
Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices 1 1 1 132 1 1 2 307
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 0 1 85 1 2 5 232
Model Risk Measurement Under Wasserstein Distance 0 0 1 34 0 0 7 87
Model Risk Measurement under Wasserstein Distance 0 0 0 7 0 0 3 32
On Numerical Methods for Spread Options 0 0 2 63 1 3 7 163
Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation 0 0 0 15 0 0 1 16
Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation 0 0 0 51 0 0 1 88
Pricing American Options under Regime Switching Using Method of Lines 0 0 0 38 0 1 1 97
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 0 0 9 0 1 2 20
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models 0 0 2 36 0 0 4 122
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 0 74 0 0 2 294
Short Rate Dynamics: A Fed Funds and SOFR Perspective 0 2 6 22 1 9 27 80
Short Rate Dynamics: A Fed Funds and SOFR perspective 0 0 1 25 0 1 9 66
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 0 0 0 614 0 0 3 1,806
Term Rates, Multicurve Term Structures and Overnight Rate Benchmarks: A Roll-Over Risk Approach 0 2 3 22 0 3 4 43
The Impact of Jumps on American Option Pricing: The S&P 100 Options Case 0 0 0 65 0 1 3 157
The Risk Management of Minimum Return Guarantees 0 0 1 157 0 0 1 447
The Risk Management of Minimum Return Guarantees 0 0 0 182 0 0 0 542
Total Working Papers 1 6 27 4,580 9 33 128 12,833


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 32 0 1 2 205
A Hyperbolic Bid Stack Approach to Electricity Price Modelling 0 0 2 2 2 3 11 11
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 0 2 21 0 1 5 99
A hybrid commodity and interest rate market model 0 0 3 7 0 0 3 33
A multicurrency extension of the lognormal interest rate Market Models 0 0 1 451 1 1 5 1,241
A square root interest rate model fitting discrete initial term structure data 0 0 1 231 0 0 3 804
Alternative Defaultable Term Structure Models 0 0 0 1 0 0 0 19
Analysing Quantiles in Models of Forward Term Rates 0 0 0 0 0 1 2 2
Calibrating a market model with stochastic volatility to commodity and interest rate risk 0 0 1 4 0 0 2 19
Equity-linked pension schemes with guarantees 0 0 0 24 0 0 0 83
Interest rate risk in long‐dated commodity options positions: To hedge or not to hedge? 0 0 0 2 0 0 0 15
ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM 0 2 6 35 0 3 11 91
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 0 0 2 74 0 2 12 307
Parameter Learning and Change Detection Using a Particle Filter with Accelerated Adaptation 0 0 0 1 1 1 2 6
Pricing of long-dated commodity derivatives: Do stochastic interest rates matter? 0 0 1 23 0 1 4 103
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models 0 0 2 8 0 2 5 37
Regime switching rough Heston model 0 0 1 4 0 0 2 27
SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL 0 0 0 1 0 0 2 9
Total Journal Articles 0 2 22 921 4 16 71 3,124


Statistics updated 2024-07-03