Martin Wallmeier

University of Fribourg - Faculty of Economics and Social Science

Professor

Fribourg, CH 1700

Switzerland

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 11,963

SSRN RANKINGS

Top 11,963

in Total Papers Downloads

4,024

SSRN CITATIONS
Rank 19,009

SSRN RANKINGS

Top 19,009

in Total Papers Citations

9

CROSSREF CITATIONS

33

Scholarly Papers (14)

1.

The Dynamics of DAX Implied Volatilities

University of Augsburg Working Paper
Number of pages: 37 Posted: 11 Sep 2000
Martin Wallmeier and Reinhold Hafner
University of Fribourg - Faculty of Economics and Social Science and risklab germany GmbH
Downloads 879 (26,543)
Citation 18

Abstract:

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Implied volatility, DAX options, Smile, Option valuation

2.

Volatility as an Asset Class: European Evidence

Number of pages: 32 Posted: 17 May 2006
Martin Wallmeier and Reinhold Hafner
University of Fribourg - Faculty of Economics and Social Science and risklab germany GmbH
Downloads 874 (26,759)
Citation 7

Abstract:

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Implied Volatility, Smile, Variance Swap, Volatility Risk Premium

3.

How to Invest Over the Life Cycle: A Review

Number of pages: 33 Posted: 12 Dec 2006
Martin Wallmeier and Florian Zainhofer
University of Fribourg - Faculty of Economics and Social Science and University of Fribourg (Switzerland) - Chair for Financial Management
Downloads 585 (46,173)

Abstract:

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Personal finance, financial planning, life cycle model, portfolio choice

4.
Downloads 545 ( 50,539)
Citation 2

Optimal Investments in Volatility

Number of pages: 22 Posted: 20 Jul 2007 Last Revised: 17 Jul 2008
Reinhold Hafner and Martin Wallmeier
risklab germany GmbH and University of Fribourg - Faculty of Economics and Social Science
Downloads 545 (49,926)
Citation 2

Abstract:

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Variance Swap, Volatility Risk Premium, Portfolio Analysis, Higher Moments, Polynomial Goal Programming, Hedge Funds

Optimal Investments in Volatility

Financial Markets and Portfolio Management, Vol. 22, No. 2, pp. 147-167, 2008
Posted: 16 Jun 2008
Reinhold Hafner and Martin Wallmeier
risklab germany GmbH and University of Fribourg - Faculty of Economics and Social Science

Abstract:

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Variance swap, Volatility risk premium, Portfolio analysis, Higher moments, Polynomial goal programming, Hedge funds

Beyond Payoff Diagrams: How to Present Risk and Return Characteristics of Structured Products

Number of pages: 32 Posted: 20 Oct 2010
Martin Wallmeier
University of Fribourg - Faculty of Economics and Social Science
Downloads 439 (65,538)
Citation 1

Abstract:

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Structured products, retail derivatives, risk measurement, risk return tradeoff, investment decisions, information tools

Beyond Payoff Diagrams: How to Present Risk and Return Characteristics of Structured Products

Financial Markets and Portfolio Management, Vol. 25, No. 3, pp. 313-338, 2011
Posted: 29 Aug 2011
Martin Wallmeier
University of Fribourg - Faculty of Economics and Social Science

Abstract:

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structured products, retail derivatives, risk measurement, risk-return tradeoff, investment decisions, information tools

6.

Smile in Motion: An Intraday Analysis of Asymmetric Implied Volatility

Algorithmic Finance (2015), 4:1-2, 89-104
Number of pages: 17 Posted: 15 Mar 2012 Last Revised: 28 Jul 2015
Martin Wallmeier
University of Fribourg - Faculty of Economics and Social Science
Downloads 366 (82,093)
Citation 4

Abstract:

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Volatility smile, implied volatility, leverage effect, index options, high-frequency data

7.

Portfolio Overlapping Bias in Tests of the Fama and French Three-Factor Model

Number of pages: 38 Posted: 01 Nov 2012 Last Revised: 29 Jan 2014
Martin Wallmeier and Kathrin Tauscher
University of Fribourg - Faculty of Economics and Social Science and University of Fribourg - Faculty of Economics and Social Science
Downloads 171 (177,843)
Citation 1

Abstract:

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Asset pricing, three-factor model, portfolio overlapping, size effect, value premium

8.

Multivariate Downside Risk: Normal Versus Variance Gamma

Number of pages: 20 Posted: 22 Apr 2010
Martin Wallmeier and Martin Diethelm
University of Fribourg - Faculty of Economics and Social Science and University of Fribourg (Switzerland) - Chair of Finance
Downloads 162 (186,195)
Citation 2

Abstract:

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Structured Financial Products, Lévy Process, Variance Gamma Process, Multi-Asset Options, Barrier Options, Reverse Convertibles

9.

A High-Frequency Investigation of the Interaction between Volatility and DAX Returns

European Financial Management, Vol. 16, Issue 3, pp. 327-344, June 2010
Number of pages: 18 Posted: 04 Jun 2010
Philippe Masset and Martin Wallmeier
Ecole hôtelière de Lausanne and University of Fribourg - Faculty of Economics and Social Science
Downloads 3 (640,242)
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10.

Portfolio Overlapping Bias in Tests of the Fama–French Three‐Factor Model

European Financial Management, Vol. 22, Issue 3, pp. 367-393, 2016
Number of pages: 27 Posted: 06 Jun 2016
Kathrin Tauscher and Martin Wallmeier
University of Fribourg - Faculty of Economics and Social Science and University of Fribourg - Faculty of Economics and Social Science
Downloads 0 (678,789)
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Asset pricing, three‐factor model, portfolio overlapping, size effect, value premium

11.

Market Pricing of Exotic Structured Products: The Case of Multi-Asset Barrier Reverse Convertibles in Switzerland

Posted: 20 Feb 2008 Last Revised: 21 May 2019
Martin Wallmeier and Martin Diethelm
University of Fribourg - Faculty of Economics and Social Science and University of Fribourg (Switzerland) - Chair of Finance

Abstract:

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Structured products, reverse convertibles, multi-asset options, barrier options, fair pricing, financial engineering

12.

Analysts' Earnings Forecasts for Dax100 Firms During the Stock Market Boom Of the 1990s

Financial Markets and Portfolio Management, Vol. 19, No. 2, pp. 130-150, 2005
Posted: 09 Sep 2005
Martin Wallmeier
University of Fribourg - Faculty of Economics and Social Science

Abstract:

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13.

Pricing Discrete Knock-Out Options with Tree Methods

OR Spektrum, Vol. 21, Issue 1-2, 1999
Posted: 31 Mar 1999
Manfred Steiner, Martin Wallmeier and Reinhold Hafner
University of Augsburg, University of Fribourg - Faculty of Economics and Social Science and risklab germany GmbH

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14.

Forecasting the Correlation Structure of German Stock Returns: A Test of Firm-Specific Factor Models

European Financial Management, Vol. 5, No. 1, March 1999
Posted: 22 Oct 1998
Martin Wallmeier and Manfred Steiner
University of Fribourg - Faculty of Economics and Social Science and University of Augsburg

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