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A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps

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Persistent link: https://www.econbiz.de/10008221447

CREDIT DERIVATIVES PRICING WITH STOCHASTIC VOLATILITY MODELS

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A multicurrency extension of the lognormal interest rate Market Models

Schlögl, Erik - In: Finance and stochastics 6 (2002) 2, pp. 173-196

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A square root interest rate model fitting discrete initial term structure data

Schlögl, Erik; Schlögl, Lutz - In: Applied mathematical finance 7 (2000) 3, pp. 183-210

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The risk management of minimum return guarantees

Mahayni, Antje; Schlögl, Erik - In: Business research : BuR ; official open access journal … 1 (2008) 1, pp. 55-76

Contracts paying a guaranteed minimum rate of return and a fraction of a positive excess rate, which is specified relative to a benchmark portfolio, are closely related to unit-linked life-insurance products and can be considered as alternatives to direct investment in the underlying benchmark....

Persistent link: https://www.econbiz.de/10009958971

Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order

Schlögl, Erik - In: Journal of economic dynamics & control 37 (2013) 3, pp. 611-632

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Zustandspreise und die Modellierung des Zinsänderungsrisikos

Sandmann, Klaus; Schlögl, Erik - In: Journal of business economics : JBE 66 (1996) 7, pp. 813-836

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Equity-linked pension schemes with guarantees

Nielsen, J. Aase; Sandmann, Klaus; Schlögl, Erik - In: Insurance / Mathematics & economics 49 (2011) 3, pp. 547-565

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Nonlinear Dynamics and Evolutionary Economics

Day, Richard H.; Chen, Ping; Chiarella, Carl - In: The economic record : er 71 (1995) 214, pp. 303-304

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The feedback channels in macroeconomics: analytical foundations for structural econometric model building

Chen, Pu; Chiarella, Carl; Flaschel, Peter; Semmler, Willi - In: Central European journal of operations research : CEJOR … 14 (2006) 3, pp. 261-288

Persistent link: https://www.econbiz.de/10007377906