University of St.Gallen
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journal paper
Fengler, M., Herwartz, H., & Werner, C. (2012). A Dynamic Copula Approach to Recovering the Index Implied Volatility Skew. Journal of Financial Econometrics, 10(3), 457-493, DOI:10.1093/jjfinec/nbr016.
Fengler, M., Maruhn, J. H., & Nalholm, M. (2011). Static hedges for reverse barrier options with robustness against skew risk: an empirical analysis. Quantitative Finance, 11(5), 711-727, DOI:10.1080/14697680903154241.
Fengler, M., Engelmann, B., & Schwendner, P. (2009). Hedging under alternative stickiness assumptions: an empirical analysis for barrier options. Journal of Risk, 12(1), 53-77.
Fengler, M., Borak, S., & Härdle, W. K. (2009). Does hedging with implied volatility factors improve the hedging efficiency of barrier options?. The Journal of Risk Model Validation, 3(1), 73-92.
Fengler, M. (2009). Arbitrage-free smoothing of the implied volatility surface. Quantitative Finance, 9(4), 417-428.
Fengler, M., Härdle, W. K., & Mammen, E. (2007). A semiparametric factor model for implied volatility surface dynamics. Journal of Financial Econometrics, 5(2), 189-218.
Fengler, M., Benko, M., Härdle, W. K., & Kopa, M. (2007). On Extracting Information Implied in Options. Computational Statistics, 22(4), 543-553.
Fengler, M., & Winter, J. K. (2007). Price Variability and Price Dispersion in a Stable Monetary Environment: Evidence from Germany. Managerial and Economic Decisions, 28(7), 789-801, DOI:10.1002/mde.1373.
Fengler, M., Engelmann, B., Nalholm, M., & Schwendner, P. (2006). Static versus Dynamic Hedges: An Empirical Comparison for Barrier Options. Review of Derivatives Research, 9(3), 239-264.
Fengler, M., & Schwendner, P. (2004). Quoting multiasset equity options in the presence of errors from estimating correlations. Journal of Derivatives, 11(4), 43-54.
Fengler, M., Härdle, W. K., & Villa, C. (2003). The dynamics of implied volatilities: A common principle components approach. Review of Derivatives Research, 6(3), 179-202.
Fengler, M., Härdle, W. K., & Schmidt, P. (2002). Common Factors Governing VDAX Movements and the Maximum Loss. Financial Markets and Portfolio Management, 16(1), 16-29.
Fengler, M. (2005). Semiparametric Modeling of Implied Volatility: Lecture Notes in Finance. Heidelberg: Springer Verlag.
book chapter
Fengler, M. (2012). Option data and modeling BSM implied volatility. In Handbook of Computational Finance, forthcoming (pp. 117-142): ..
Fengler, M., & Herwartz, H. (2009). Multivariate volatility models. In Applied Quantitative Finance (pp. 313-325). Heidelberg: Springer Verlag.
Fengler, M., & Wang, Q. (2009). Least Squares Kernel Smoothing of the Implied Volatility Smile. In Applied Quantitative Finance (pp. 193-207). Heidelberg: Springer Verlag.
Fengler, M., Schwendner, P., & Pilz, K. (2007). Basket volatility and correlation. In Volatility as an Asset Class (pp. 95-131). London: Incisive Media.
Fengler, M., Härdle, W. K., & Borak, S. (2005). DSFM fitting of implied volatility surfaces. In Conference, Proceedings of the Fifth International Conference "Intelligent Systems-Design and Applications" (pp. 526-531): ....
Fengler, M., Härdle, W. K., & Schmidt, P. (2002). The analysis of implied volatilities. In Applied Quantitative Finance (pp. 127-144). Heidelberg: Springer Verlag.
Fengler, M., & Winter, J. K. (1999). Price-setting and price-adjustment behavior for fast-moving consumer goods. In Social and Economic Research with Consumer Panel Data (pp. 95-113). Mannheim: MEA.
working paper
Audrino, F., & Fengler, M., HSG (Eds.), (2013). Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data. Discussion paper series. St. Gallen: SEPS.
Fengler, M., Mammen, E., & Vogt, M. (2013). Additive modeling of realized variance: tests for parametric specifications and structural breaks. Discussion Paper. St. Gallen: SEPS, University of St. Gallen, Switzerland.
Fengler, M., & Okhrin, O. (2012). Realized Copula: 2012-14, VWA Discussion Papers Series, HSG St. Gallen.
Fengler, M., & Hin, L. Y. (2011). Semi-nonparametric estimation of the call price surface under no-arbitrage constraints. St. Gallen: SEPS, University of St. Gallen, Switzerland.
Fengler, M., & Wang, Q. (2003). Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface. Discussion Paper: SEPS, University of St. Gallen, Switzerland (St. Gallen).
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*citation format: APA 5