Browsing 01 Mathematical Sciences by Author "Schlogl Erik"

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Browsing 01 Mathematical Sciences by Author "Schlogl Erik"

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  • Alternative defaultable term structure models 
    Schlogl Erik; Bruti Liberati Nicola; Platen Eckhard; Nikitopoulos Sklibosios Christina (Springer, 2009)
    The objective of this paper is to consider defaultable term structure models in a general setting beyond standard risk-neutral models. Using as numeraire the growth optimal portfolio, defaultable interest rate derivatives ...
  • A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps 
    Nikitopoulos Sklibosios Christina; Schlogl Erik; Chiarella Carl (Routledge, 2007)
    This paper examines the pricing of interest rate derivatives when the interest rate dynamics experience infrequent jump shocks modelled as a Poisson process. The pricing framework adapted was developed by Chiarella and ...
  • Lognormal forward market model (LFM) volatility function approximation 
    Chung In Hwan; Dun Tim; Schlogl Erik (Springer, 2010)
    In the lognormal forward Market model (LFM) framework, the specification for time-deterministic instantaneous volatility functions for state variable forward rates is required. In reality, only a discrete number of forward ...
  • A multicurrency extension of the lognormal interest rate market models 
    Schlogl Erik (Springer Tokyo, 2007)
    The Market Models of the term structure of interest rates, in which forward LIBOR or forward swap rates are modelled to be lognormal under the forward probability measure of the corresponding maturity, are extended to ...