Martin Wallmeier

University of Fribourg - Faculty of Economics and Social Science

Professor

Fribourg, CH 1700

Switzerland

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 6,525

SSRN RANKINGS

Top 6,525

in Total Papers Downloads

5,408

CITATIONS
Rank 10,905

SSRN RANKINGS

Top 10,905

in Total Papers Citations

38

Scholarly Papers (14)

1.

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

Number of pages: 19 Posted: 20 Feb 2008 Last Revised: 11 Apr 2008
Martin Wallmeier and Martin Diethelm
University of Fribourg - Faculty of Economics and Social Science and University of Fribourg (Switzerland) - Chair of Finance
Downloads 1,511 (7,521)
Citation 7

Abstract:

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

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 813 (21,382)
Citation 7

Abstract:

Implied Volatility, Smile, Variance Swap, Volatility Risk Premium

3.

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 792 (22,423)
Citation 11

Abstract:

Implied volatility, DAX options, Smile, Option valuation

4.

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 537 (38,211)
Citation 1

Abstract:

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

5.
Downloads 511 ( 42,659)
Citation 6

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 511 (42,128)
Citation 6

Abstract:

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:

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 413 (55,047)
Citation 1

Abstract:

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:

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

7.

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 264 (79,099)
Citation 1

Abstract:

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

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 147 (157,242)
Citation 2

Abstract:

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

9.

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 113 (157,242)

Abstract:

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

10.

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 2 (517,815)
Citation 2
  • Add to Cart

Abstract:

11.

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 (544,085)
  • Add to Cart

Abstract:

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

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:

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

Abstract:

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

Abstract: