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Details about Markus Leippold

E-mail:
Homepage:http://www.isb.unizh.ch/institut/staff/leippold.markus/
Workplace:Institut für Banking und Finance (Institut für Schweizerisches Bankwesen) (Department of Banking and Finance (Swiss Banking Institute)), Wirtschaftswissenschaftliche Fakutät (Faculty of Economics), Universität Zürich (University of Zurich), (more information at EDIRC)
Swiss Finance Institute, (more information at EDIRC)

Access statistics for papers by Markus Leippold.

Last updated 2020-09-11. Update your information in the RePEc Author Service.

Short-id: ple204


Jump to Journal Articles

Working Papers

2016

  1. Discrete-Time Option Pricing with Stochastic Liquidity
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
    See also Journal Article in Journal of Banking & Finance (2017)
  2. Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2016) Downloads View citations (1)
    Working Papers, Queen Mary University of London, School of Economics and Finance (2016) Downloads View citations (1)

    See also Journal Article in Journal of Financial Economics (2019)

2015

  1. Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (1)
    See also Journal Article in Journal of Banking & Finance (2017)
  2. Strategic Technology Adoption and Hedging under Incomplete Markets
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
    See also Journal Article in Journal of Banking & Finance (2017)

2013

  1. What's Beneath the Surface? Option Pricing with Multifrequency Latent States
    HEC Research Papers Series, HEC Paris Downloads
    See also Journal Article in Journal of Econometrics (2015)

2012

  1. Are Ratings the Worst Form of Credit Assessment Apart from All the Others?
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
  2. Time-Changed Lévy LIBOR Market Model: Pricing and Joint Estimation of the Cap Surface and Swaption Cube
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
    See also Journal Article in Journal of Financial Economics (2014)

2011

  1. A remark on Lin and Chang’s paper ‘Consistent modeling of S&P 500 and VIX derivatives
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
    See also Journal Article in Journal of Economic Dynamics and Control (2012)
  2. Collateral Smile
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
    See also Journal Article in Journal of Banking & Finance (2015)

2005

  1. Learning and Asset Prices under Ambiguous Information
    University of St. Gallen Department of Economics working paper series 2005, Department of Economics, University of St. Gallen Downloads View citations (12)
    See also Journal Article in Review of Financial Studies (2008)

2002

  1. A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering Downloads View citations (5)
    See also Journal Article in Journal of Economic Dynamics and Control (2004)
  2. Asset Pricing Under The Quadratic Class
    Finance, University Library of Munich, Germany Downloads View citations (106)
    See also Journal Article in Journal of Financial and Quantitative Analysis (2002)
  3. Design and Estimation of Quadratic Term Structure Models
    Finance, University Library of Munich, Germany Downloads View citations (19)
    See also Journal Article in Review of Finance (2003)

1999

  1. The Potential Approach to Bond and Currency Pricing
    Finance, University Library of Munich, Germany Downloads View citations (3)

Journal Articles

2020

  1. How Rational and Competitive Is the Market for Mutual Funds?*
    Review of Finance, 2020, 24, (3), 579-613 Downloads
  2. Option-Implied Intrahorizon Value at Risk
    Management Science, 2020, 66, (1), 397-414 Downloads

2019

  1. Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
    Journal of Financial Economics, 2019, 131, (3), 593-618 Downloads View citations (4)
    See also Working Paper (2016)
  2. Particle filtering, learning, and smoothing for mixed-frequency state-space models
    Econometrics and Statistics, 2019, 12, (C), 25-41 Downloads

2018

  1. Are Ratings the Worst Form of Credit Assessment Except for All the Others?
    Journal of Financial and Quantitative Analysis, 2018, 53, (1), 299-334 Downloads View citations (2)
  2. Maximum diversification strategies along commodity risk factors
    European Financial Management, 2018, 24, (1), 53-78 Downloads View citations (1)
  3. The mixed vs the integrated approach to style investing: Much ado about nothing?
    European Financial Management, 2018, 24, (5), 829-855 Downloads View citations (1)

2017

  1. Discrete-time option pricing with stochastic liquidity
    Journal of Banking & Finance, 2017, 75, (C), 1-16 Downloads View citations (8)
    See also Working Paper (2016)
  2. Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model
    Journal of Banking & Finance, 2017, 77, (C), 78-94 Downloads View citations (3)
    See also Working Paper (2015)
  3. Strategic technology adoption and hedging under incomplete markets
    Journal of Banking & Finance, 2017, 81, (C), 181-199 Downloads View citations (2)
    See also Working Paper (2015)

2015

  1. Collateral smile
    Journal of Banking & Finance, 2015, 58, (C), 15-28 Downloads View citations (1)
    See also Working Paper (2011)
  2. What is beneath the surface? Option pricing with multifrequency latent states
    Journal of Econometrics, 2015, 187, (2), 498-511 Downloads View citations (3)
    See also Working Paper (2013)

2014

  1. The dispersion effect in international stock returns
    Journal of Empirical Finance, 2014, 29, (C), 331-342 Downloads View citations (3)
  2. Time-changed Lévy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube
    Journal of Financial Economics, 2014, 111, (1), 224-250 Downloads View citations (1)
    See also Working Paper (2012)

2012

  1. A remark on Lin and Chang's paper ‘Consistent modeling of S&P 500 and VIX derivatives’
    Journal of Economic Dynamics and Control, 2012, 36, (5), 708-715 Downloads View citations (3)
    See also Working Paper (2011)
  2. Data snooping and the global accrual anomaly
    Applied Financial Economics, 2012, 22, (7), 509-535 Downloads View citations (8)
  3. Equilibrium Implications of Delegated Asset Management under Benchmarking
    Review of Finance, 2012, 16, (4), 935-984 Downloads
  4. International price and earnings momentum
    The European Journal of Finance, 2012, 18, (6), 535-573 Downloads View citations (9)

2011

  1. A New Goodness-of-Fit Test for Event Forecasting and Its Application to Credit Defaults
    Management Science, 2011, 57, (3), 487-505 Downloads View citations (1)
  2. Multiperiod mean-variance efficient portfolios with endogenous liabilities
    Quantitative Finance, 2011, 11, (10), 1535-1546 Downloads View citations (1)

2010

  1. The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments
    Journal of Financial and Quantitative Analysis, 2010, 45, (5), 1279-1310 Downloads View citations (68)

2009

  1. The Valuation of American Options with Stochastic Stopping Time Constraints
    Applied Mathematical Finance, 2009, 16, (3), 287-305 Downloads

2008

  1. Learning and Asset Prices Under Ambiguous Information
    Review of Financial Studies, 2008, 21, (6), 2565-2597 Downloads View citations (39)
    See also Working Paper (2005)

2007

  1. A simple model of credit contagion
    Journal of Banking & Finance, 2007, 31, (8), 2475-2492 Downloads View citations (51)
  2. Trend derivatives: Pricing, hedging, and application to executive stock options
    Journal of Futures Markets, 2007, 27, (2), 151-186 Downloads View citations (3)

2006

  1. Economic benefit of powerful credit scoring
    Journal of Banking & Finance, 2006, 30, (3), 851-873 Downloads View citations (31)
  2. Equilibrium impact of value-at-risk regulation
    Journal of Economic Dynamics and Control, 2006, 30, (8), 1277-1313 Downloads View citations (17)
  3. Optimal credit limit management under different information regimes
    Journal of Banking & Finance, 2006, 30, (2), 463-487 Downloads

2005

  1. Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models
    Review of Derivatives Research, 2005, 7, (3), 213-239 Downloads View citations (1)
  2. Statistics, Econometrics and Forecasting. Arnold Zellner
    Journal of the American Statistical Association, 2005, 100, 1458-1458 Downloads

2004

  1. A geometric approach to multiperiod mean variance optimization of assets and liabilities
    Journal of Economic Dynamics and Control, 2004, 28, (6), 1079-1113 Downloads View citations (35)
    See also Working Paper (2002)

2003

  1. Design and Estimation of Quadratic Term Structure Models
    Review of Finance, 2003, 7, (1), 47-73 Downloads View citations (16)
    See also Working Paper (2002)

2002

  1. Asset Pricing under the Quadratic Class
    Journal of Financial and Quantitative Analysis, 2002, 37, (2), 271-295 Downloads View citations (100)
    See also Working Paper (2002)
 
Page updated 2020-09-26