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Publications

Titre autheurs /... year Genre  
 
Are classical option pricing models consistent with o... Francesco Audrin... 2013 papier de travail
   
Additive modeling of realized variance: tests for par... Matthias Fengler... 2013 papier de travail
   
Option data and modeling BSM implied volatility Matthias Fengler 2012 chapitre dans un...
   
A Dynamic Copula Approach to Recovering the Index Imp... Matthias Fengler... 2012 Journal paper
   
Realized Copula Matthias Fengler... 2012 papier de travail
   
Static hedges for reverse barrier options with robust... Matthias Fengler... 2011 Journal paper
   
Semi-nonparametric estimation of the call price surfa... Matthias Fengler... 2011 papier de travail
   
Hedging under alternative stickiness assumptions: an ... Matthias Fengler... 2009 Journal paper
   
Does hedging with implied volatility factors improve ... Matthias Fengler... 2009 Journal paper
   
Arbitrage-free smoothing of the implied volatility surface Matthias Fengler 2009 Journal paper
   
Multivariate volatility models Matthias Fengler... 2009 chapitre dans un...
   
Least Squares Kernel Smoothing of the Implied Volatil... Matthias Fengler... 2009 chapitre dans un...
   
A semiparametric factor model for implied volatility ... Matthias Fengler... 2007 Journal paper
   
On Extracting Information Implied in Options Matthias Fengler... 2007 Journal paper
   
Price Variability and Price Dispersion in a Stable Mo... Matthias Fengler... 2007 Journal paper
   
Basket volatility and correlation Matthias Fengler... 2007 chapitre dans un...
   
Static versus Dynamic Hedges: An Empirical Comparison... Matthias Fengler... 2006 Journal paper
   
Semiparametric Modeling of Implied Volatility Matthias Fengler 2005 livre
   
 
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