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 2 8 10 116
A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors 0 0 0 49 0 0 2 131
A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors 0 0 0 5 0 6 11 37
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 0 0 445 0 5 8 1,497
A Hybrid Commodity and Interest Rate 0 0 0 62 0 5 7 292
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 0 6 9 489
A Multicurrency Extension of the Lognormal Interest Rate Market Models 0 0 0 349 3 8 12 712
A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data 0 0 0 0 1 4 6 669
Alternative Defaultable Term Structure Models 0 0 0 87 0 4 9 203
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 0 0 1 9 1 5 10 34
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates 0 1 6 711 1 6 22 1,847
Calibrating Market Model to Commodity and Interest Rate Risk 0 0 1 39 1 5 9 113
Calibration of Multicurrency LIBOR Market Models 0 0 0 72 0 4 4 201
Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets 0 0 0 102 4 13 18 383
Correlating Market Models 0 0 0 416 0 4 7 613
Empirical Hedging Performance on Long-Dated Crude Oil Derivatives 0 0 0 53 2 10 13 169
Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? 0 0 0 45 0 6 7 118
Equity-Linked Pension Schemes with Guarantees 0 0 0 97 2 3 5 276
Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices 0 0 0 133 0 5 6 314
Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing 0 0 0 157 0 6 9 436
Hedging Futures Options with Stochastic Interest Rates 0 0 0 87 0 3 7 242
Model Risk Measurement Under Wasserstein Distance 0 0 1 35 1 3 4 92
Model Risk Measurement under Wasserstein Distance 0 0 1 10 3 4 10 45
On Numerical Methods for Spread Options 0 0 2 66 0 6 10 176
Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation 0 0 0 15 3 4 5 21
Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation 0 0 0 51 0 2 5 94
Pricing American Options under Regime Switching Using Method of Lines 0 0 0 39 5 6 9 108
Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation 1 1 1 1 3 7 11 11
Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates 0 0 0 51 0 3 5 152
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models 0 0 0 10 1 4 8 32
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models 0 0 2 38 2 7 14 137
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives 0 0 0 75 1 6 7 303
Short Rate Dynamics: A Fed Funds and SOFR Perspective 1 1 4 28 5 17 31 126
Short Rate Dynamics: A Fed Funds and SOFR perspective 0 0 0 27 3 9 20 95
Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model 0 0 1 616 1 10 16 1,824
Term Rates, Multicurve Term Structures and Overnight Rate Benchmarks: A Roll-Over Risk Approach 0 0 0 22 1 5 6 49
The Impact of Jumps on American Option Pricing: The S&P 100 Options Case 0 0 1 66 0 3 7 167
The Risk Management of Minimum Return Guarantees 0 0 1 183 2 7 10 552
The Risk Management of Minimum Return Guarantees 0 0 0 157 1 5 7 454
Total Working Papers 2 3 22 4,637 49 224 376 13,330

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 5 6 212
A Hyperbolic Bid Stack Approach to Electricity Price Modelling 0 0 0 2 2 10 13 25
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 0 0 0 1 3 4 17
A consistent stochastic model of the term structure of interest rates for multiple tenors 1 1 1 23 1 6 14 117
A hybrid commodity and interest rate market model 0 0 1 8 1 5 8 41
A multicurrency extension of the lognormal interest rate Market Models 0 0 1 452 0 2 7 1,249
A square root interest rate model fitting discrete initial term structure data 0 0 0 232 1 5 9 818
Alternative Defaultable Term Structure Models 0 0 0 1 0 5 8 29
Analysing Quantiles in Models of Forward Term Rates 0 0 0 0 0 1 2 5
Calibrating a market model with stochastic volatility to commodity and interest rate risk 0 0 0 4 1 5 6 27
Equity-linked pension schemes with guarantees 0 0 0 24 0 1 2 88
Interest rate risk in long‐dated commodity options positions: To hedge or not to hedge? 0 0 0 2 1 5 6 22
Lost in the LIBOR transition 0 0 0 0 2 6 11 11
Modifying Sequential Monte Carlo Optimisation for Index Tracking to Allow for Transaction Costs 0 0 0 0 1 4 8 8
ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM 0 0 1 38 1 8 10 105
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order 0 0 0 74 0 4 12 322
Parameter Learning and Change Detection Using a Particle Filter with Accelerated Adaptation 0 0 0 1 2 6 9 17
Pricing of long-dated commodity derivatives: Do stochastic interest rates matter? 0 0 1 25 1 2 9 117
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models 0 0 0 9 1 7 14 57
Regime switching rough Heston model 0 1 2 6 0 9 14 45
SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL 0 0 0 2 1 5 6 18
SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates 0 1 5 8 6 15 33 41
TERM STRUCTURE MODELING OF SOFR: EVALUATING THE IMPORTANCE OF SCHEDULED JUMPS 1 2 4 4 7 11 15 15
Total Journal Articles 2 5 16 948 30 130 226 3,406

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Statistics updated 2026-03-04