Matthias Reginald Fengler
Title
Prof. Dr.
Last Name
Fengler
First name
Matthias Reginald
Email
matthias.fengler@unisg.ch
ORCID
Phone
+41 71 224 2457
2 results
Now showing 1 - 2 of 2
- Some of the metrics are blocked by yourconsent settings
Item type:Publication, A simple and general approach to fitting the discount curve under no-arbitrage constraintsWe suggest a simple and general approach to fitting the discount curve under no-arbitrage constraints based on a penalized shape-constrained B-spline. The approach accommodates B-splines of any order and fitting both under the L1 and the L2 loss functions. An application to US STRIPS data from 2001-2015 suggests that polynomial splines of order three and four are mandatory to obtain reasonable fits. The choice of the loss function appears to be less relevant.Type:journal articleJournal:Finance Research LettersVolume:15Scopus© Citations 3 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Arbitrage-free smoothing of the implied volatility surfaceThe pricing accuracy and pricing performance of local volatility models depends on the absence of arbitrage in the implied volatility surface. An input implied volatility surface that is not arbitrage-free can result in negative transition probabilities and consequently mispricings and false greeks. We propose an approach for smoothing the implied volatility smile in an arbitrage-free way. The method is simple to implement, computationally cheap and builds on the well-founded theory of natural smoothing splines under suitable shape constraints.Type:journal articleJournal:Quantitative FinanceVolume:9Issue:4Scopus© Citations 96