A semiparametric factor model for implied volatility surface dynamics

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Arbitrage-free smoothing of the implied volatility surface (2009, background): “For a discussion of the financial implications of an option pricing function that is homogeneous in spot and strikes we refer to Renault (1997), Alexander and Nogueira (2007) and Fengler et al. (2007).”
Large Vector Auto Regressions (2011, methodology): “In quantitative finance, one studies the dynamics of the implied volatility surface for risk management, calibration and pricing purposes, Fengler et al. (2007).”
Time Series Modelling With Semiparametric Factor Dynamics (2009, methodology): “Fengler, Härdle, and Mammen (2007) used a kernel smoothing approach for the same model, but it was focused on a particular data application without offering any discussion of numerical issues, statistical theory, and simulation analysis.”