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Matthias R Fengler

Matthias R Fengler

Universität Saint Gallen - St. Gallen / Switzerland
Economics & Econometrics / Accounting & Finance
AD Scientific Index ID: 1088236
University of Saint Gallen
person_outline Matthias R Fengler's MOST POPULAR ARTICLES
1-) Applied Multivariate Statistical Analysis Springer, 2024
2-) Arbitrage-free smoothing of the implied volatility surface Quantitative Finance 9 (4), 417-428, 2009
3-) Semiparametric modeling of implied volatility Springer Science & Business Media, 2005
4-) A semiparametric factor model for implied volatility surface dynamics Journal of Financial Econometrics 5 (2), 189-218, 2007
5-) The dynamics of implied volatilities: A common principal components approach Review of Derivatives Research 6 (3), 179-202, 2003