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M

Matthias R. Fengler

University of St Gallen

15H指数
125论文数
1.1K被引数
收录论文 6
发表时间
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A Non-Gaussian, Structure-Preserving Stochastic Volatility and Option Pricing Model in Discrete Time非高斯、结构保持的离散时间随机波动率与期权定价模型
errJournal of Financial Econometrics
IF2.2
err2026-01-01
err0
PREAI
errFeistle, Simon; Fengler, Matthias R.; Melnikov, Alexander
err分享
err收藏
Unveiling themes in 10-K disclosures: A new topic modeling perspective揭示10-K信息披露中的主题：一种新的主题建模视角
errINTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
IF9.8
err2025-07-01
err0
errOAAI
errFengler, Matthias R.; Phan, Tri Minh
err分享
err收藏
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data
errJOURNAL OF BANKING & FINANCE
IF3.8
err2015-12-01
err9
errOAAI
errAudrino, Francesco; Fengler, Matthias R.
err分享
err收藏
A simple and general approach to fitting the discount curve under no-arbitrage constraints
errFINANCE RESEARCH LETTERS
IF6.9
err2015-11-01
err4
errOAAI
errFengler, Matthias R.; Hin, Lin-Yee
err分享
err收藏
Specification and structural break tests for additive models with applications to realized variance data
errJOURNAL OF ECONOMETRICS
IF4
err2015-09-01
err8
PREAI
errFengler, M. R.; Mammen, E.; Vogt, M.
err分享
err收藏
Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints执行和到期无套利约束下看涨期权价格曲面的半非参数估计
errJOURNAL OF ECONOMETRICS
IF4
err2015-02-01
err37
PREAI
errFengler, Matthias R.; Hin, Lin-Yee
err分享
err收藏

研究方向

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合作学者
合作期刊
E
Enno Mammen
H 指数: 45 · 论文数: 299
A
Alexander Melnikov
H 指数: 16 · 论文数: 230
L
Lin‐Yee Hin
H 指数: 15 · 论文数: 51
M
Michael Vogt
H 指数: 14 · 论文数: 63
T
Tri Minh Phan
H 指数: 2 · 论文数: 3
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