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Publications

Titre autheurs /... year Genre  
 
A variance spillover analysis without covariances: wh... Matthias Fengler... 2015 Journal paper
   
Semi-nonparametric estimation of the call-option pric... Matthias Fengler... 2015 Journal paper
   
A simple and general approach to fitting the discount... Matthias Fengler... 2014 papier de travail
   
Managing Risk with a Realized Copula Parameter Matthias Fengler... 2014 Journal paper
   
Additive modeling of realized variance: tests for par... Matthias Fengler... 2013 papier de travail
   
Are classical option pricing models consistent with o... Francesco Audrin... 2013 papier de travail
   
A Dynamic Copula Approach to Recovering the Index Imp... Matthias Fengler... 2012 Journal paper
   
Option data and modeling BSM implied volatility Matthias Fengler 2012 chapitre dans un...
   
Static hedges for reverse barrier options with robust... Matthias Fengler... 2011 Journal paper
   
Least Squares Kernel Smoothing of the Implied Volatil... Matthias Fengler... 2009 chapitre dans un...
   
Multivariate volatility models Matthias Fengler... 2009 chapitre dans un...
   
Arbitrage-free smoothing of the implied volatility surface Matthias Fengler 2009 Journal paper
   
Does hedging with implied volatility factors improve ... Matthias Fengler... 2009 Journal paper
   
Hedging under alternative stickiness assumptions: an ... Matthias Fengler... 2009 Journal paper
   
Basket volatility and correlation Matthias Fengler... 2007 chapitre dans un...
   
Price Variability and Price Dispersion in a Stable Mo... Matthias Fengler... 2007 Journal paper
   
On Extracting Information Implied in Options Matthias Fengler... 2007 Journal paper
   
A semiparametric factor model for implied volatility ... Matthias Fengler... 2007 Journal paper
   
 
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