Browsing by Author Schlogl, E

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Showing results 1 to 16 of 16
Issue DateTitleAuthor(s)
Jan-2009Alternative defaultable term structure modelsBruti Liberati, N; Nikitopoulos Sklibosios, C; Platen, E; Schlogl, E
2017Calibrating a Market Model with Stochastic Volatility to Commodity and Interest Rate RiskKarlsson, P; Pilz, K; Schlogl, E
Jan-2007A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with JumpsChiarella, C; Nikitopoulos Sklibosios, C; Schlogl, E
Jan-2004Correlating market modelsChoy, B; Dun, T; Schlogl, E
Jan-2010Duffie-Singleton ModelSchlogl, L; Schlogl, E; al, RCE
25-May-2017Empirical Pricing Performance on Long Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter?Nikitopoulos Sklibosios, C; Cheng, B; Schlogl, E
Jan-2011Equity-linked pension schemes with guaranteesNielsen, JA; Sandmann, K; Schlogl, E
Jan-2009Factor Distributions Implied by Quoted CDO SpreadsSchlogl, E; Schlogl, L; Cont, R
Jan-2013A hybrid commodity and interest rate market modelPilz, K; Schlogl, E
Jan-2010Lognormal forward market model (LFM) volatility function approximationChung, I; Dun, T; Schlogl, E; Chiarella, C; Novikov, A
Jan-2008Markov Models for CDOsSchlogl, E; Meissner, G
Jan-2007A Markovian Defaultable Term Structure Model with State Dependent VolatilitiesChiarella, C; Nikitopoulos Sklibosios, C; Schlogl, E
Jan-2002A multicurrency extension of the lognormal interest rate market modelsSchlogl, E
Jan-2013Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary orderSchlogl, E
Jan-2008The Risk Management of Minimum Return GuaranteesMahayni, AB; Schlogl, E
Jan-2001Simulated Swaption Delta-Hedging in the Lognormal Forward Libor ModelDun, T; Barton, GW; Schlogl, E