Concepedia

Matthias R. Fengler

MR

Statistics

Publications

21

Citations

819

H-Index

13

Active since

2002

Affiliations

University of St.Gallen(Current)

Humboldt-Universität zu Berlin

Swiss Finance Institute

Charles University

University of Applied Sciences St. Gallen

Matthias R. Fengler is an author at University of St.Gallen specializing in business, finance, and financial economics.

Publications per year

2002–2023

21

Publications

21

Arbitrage-free smoothing of the implied volatility surface

Matthias R. Fengler · Quantitative Finance · 2009 · 165 citations

Business, Economics, Finance +17

The Dynamics of Implied Volatilities: A Common Principal Components Approach

Matthias R. Fengler, Wolfgang Karl Härdle, Christophe Villa · Review of Derivatives Research · 2003 · 132 citations · Full text

Business, Economics, Finance +13

A semiparametric factor model for implied volatility surface dynamics

Matthias R. Fengler, Wolfgang Karl Härdle, Enno Mammen · Journal of Financial Econometrics · 2006 · 121 citations

Business, Economics, Finance +17

Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints

Matthias R. Fengler, Lin‐Yee Hin · Journal of Econometrics · 2014 · 58 citations

Social Sciences, Economics, Finance +13

On extracting information implied in options

Michal Benko, Matthias R. Fengler, Wolfgang Karl Härdle et al. · Computational Statistics · 2007 · 46 citations

Business, Decision Sciences, Decision Analysis +8

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