Details about Matthias R. Fengler

Access statistics for papers by Matthias R. Fengler.

Last updated 2013-06-05. Update your information in the RePEc Author Service.

Short-id: pfe264

Working Papers

2013

1. Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data
   Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science

2012

2. Realized Copula
   SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (1)
   Also in Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science (2012)

2011

3. A dynamic copula approach to recovering the index implied volatility skew
   University of St. Gallen Department of Economics working paper series 2010, Department of Economics, University of St. Gallen View citations (4)
4. Semi-nonparametric estimation of the call price surface under no-arbitrage constraints
   Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science

2010

5. Option data and modeling BSM implied volatility
   University of St. Gallen Department of Economics working paper series 2010, Department of Economics, University of St. Gallen View citations (3)

2005

6. A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics
   SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (5)
7. Arbitrage-Free Smoothing of the Implied Volatility Surface
   SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (1)
   See also Journal Article in Quantitative Finance (2009)
8. DSFM fitting of Implied Volatility Surfaces
   SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (2)

2003

9. Correlation Risk Premia for Multi-Asset Equity Options
   SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
10. Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (2)
11. Implied volatility string dynamics
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (28)

2001

12. Multivariate volatility models
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
13. The analysis of implied volatilities
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (2)
14. The dynamics of implied volatilities: A common principal components approach
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
    See also Journal Article in Review of Derivatives Research (2003)

2000

15. Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
    See also Journal Article in Managerial and Decision Economics (2007)

Journal Articles

2011

1. Static hedges for reverse barrier options with robustness against skew risk: an empirical analysis
   Quantitative Finance, 2011, 11, (5), 711-727

2009

2. Arbitrage-free smoothing of the implied volatility surface
   Quantitative Finance, 2009, 9, (4), 417-428 View citations (9)
   See also Working Paper (2005)

2007

3. On extracting information implied in options
   Computational Statistics, 2007, 22, (4), 543-553 View citations (3)
4. Price variability and price dispersion in a stable monetary environment: evidence from German retail markets
   Managerial and Decision Economics, 2007, 28, (7), 789-801 View citations (2)
   See also Working Paper (2000)

2006

5. Static versus dynamic hedges: an empirical comparison for barrier options
   Review of Derivatives Research, 2006, 9, (3), 239-264 View citations (2)

2003

6. The Dynamics of Implied Volatilities: A Common Principal Components Approach
   Review of Derivatives Research, 2003, 6, (3), 179-202 View citations (18)
   See also Working Paper (2001)

Undated

7. A semiparametric factor model for implied volatility surface dynamics
   Journal of Financial Econometrics, 5, (2), 189-218