Martin Diethelm

University of Fribourg (Switzerland) - Chair of Finance

Doctoral student

Bd de Pérolles 90

CH-1700 Fribourg

Switzerland

SCHOLARLY PAPERS

2

DOWNLOADS

173

SSRN CITATIONS

1

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

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 173 (234,812)
Citation 4

Abstract:

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

2.

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