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Fengler, Matthias R.


 SSRN Author Rank: 35,951 by Downloads
 Assistant Professor
 

University of St. Gallen - School of Economics and Political Science


 Bodanstrasse 6
 CH-9000 St. Gallen, 9000
 Switzerland
 HOME PAGE: http://www.mathstat.unisg.ch/fengler
 email address

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. Fengler, Matthias R.'s Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
605
Total
Citations
3
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
Option Data and Modeling BSM Implied Volatility | Show Abstract | Download |
HANDBOOK OF COMPUTATIONAL FINANCE, Springer-Verlag, Chapter 6, pp.117-142, edited by Jin-Chuan Duan, Wolfgang Karl Härdle, James E. Gentle, 2012
Accepted Paper Series
Fengler, Matthias R.
University of St. Gallen - School of Economics and Political Science
Posted:
05 Sep 11
Last Revised:
01 Nov 13
360
(45,734)
3

2.  
Fengler, Matthias R.
University of St. Gallen - School of Economics and Political Science
Hin, Lin-Yee
Department of Mathematics & Statistics, Curtin University
Posted:
17 Aug 11
Last Revised:
27 Apr 13
138
(122,780)
 

3.  
Audrino, Francesco
University of Saint Gallen
Fengler, Matthias R.
University of St. Gallen - School of Economics and Political Science
Posted:
27 Apr 13
Last Revised:
27 Aug 13
31
(278,073)
 

4.  
Fengler, Matthias R.
University of St. Gallen - School of Economics and Political Science
Gisler, Katja I. M.
University of Saint Gallen
Posted:
30 Apr 14
30
(281,155)
 

5.  
Fengler, Matthias R.
University of St. Gallen - School of Economics and Political Science
Hin, Lin-Yee
Department of Mathematics & Statistics, Curtin University
Posted:
12 Aug 14
23
(309,797)
 

6.  
Fengler, Matthias R.
University of St. Gallen - School of Economics and Political Science
Mammen, Enno
University of Mannheim - Department of Economics
Vogt, Michael
University of Cambridge
Posted:
01 Nov 13
23
(309,797)
 

7.  
Static Hedges for Reverse Barrier Options with Robustness Against Skew Risk: An Empirical Analysis | Show Abstract |
Quantitative Finance, Vol. 11, No. 5, pp. 711-727, 2011
Accepted Paper Series
Jan, Maruhn
University of Trier
Nalholm, Morten
Copenhagen Business School - Department of Finance
Fengler, Matthias R.
University of St. Gallen - School of Economics and Political Science
Posted:
03 Feb 12
 

8.  
A Dynamic Copula Approach to Recovering The Index Implied Volatility Skew | Show Abstract |
Journal of Financial Econometrics, 10(3), 457-493, 2012
Accepted Paper Series
Fengler, Matthias R.
University of St. Gallen - School of Economics and Political Science
Herwartz, Helmut
University of Kiel - Institute of Statistics and Econometrics
Werner, Christian Björn-Ole
Derivatives Trading, Macquarie Structured Products & Exotics Macquarie Capital (Europe) Limited
Posted:
05 Sep 11
Last Revised:
01 May 13
 

9.  
A Semiparametric Factor Model for Implied Volatility Surface Dynamics | Show Abstract |
Journal of Financial Econometrics, Vol. 5, Issue 2, pp. 189-218, 2007
Accepted Paper Series
Fengler, Matthias R.
University of St. Gallen - School of Economics and Political Science
Härdle, Wolfgang K.
Humboldt University of Berlin - Institute for Statistics and Econometrics
Mammen, Enno
University of Mannheim - Department of Economics
Posted:
16 Jun 08
 

10.  
Engelmann, Bernd
Quantsolutions
Fengler, Matthias R.
University of St. Gallen - School of Economics and Political Science
Schwendner, Peter
Zurich University of Applied Sciences
Posted:
09 Oct 06
Last Revised:
10 Mar 11
 

11.  
Common Factors Governing VDAX Movements and the Maximum Loss | Show Abstract |
Financial Markets and Portfolio Management, Vol. 16, No. 1, pp. 16-29, 2002
Accepted Paper Series
Schmidt, Peter
affiliation not provided to SSRN
Härdle, Wolfgang K.
Humboldt University of Berlin - Institute for Statistics and Econometrics
Fengler, Matthias R.
University of St. Gallen - School of Economics and Political Science
Posted:
14 Sep 05
 

12.  
Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface | Show Abstract |
Humboldt-University Berlin SFB 373 Discussion Paper No. 2003-25
Working Paper Series
Fengler, Matthias R.
University of St. Gallen - School of Economics and Political Science
Wang, Qihua
AMSS
Posted:
07 Oct 03
 

13.  
Managing risk with a realized copula parameter | Show Abstract |
Computational Statistics & Data Analysis, forthcoming 2014
Accepted Paper Series
Fengler, Matthias R.
University of St. Gallen - School of Economics and Political Science
Okhrin, Ostap
Humboldt University of Berlin - School of Business and Economics
Posted:
24 May 12
 


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