Details about Markus Leippold

Access statistics for papers by Markus Leippold.

Last updated 2022-01-13. Update your information in the RePEc Author Service.

Short-id: ple204

Working Papers

2016

1. Discrete-Time Option Pricing with Stochastic Liquidity
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
   See also Journal Article Discrete-time option pricing with stochastic liquidity, Journal of Banking & Finance, Elsevier (2017) View citations (14) (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 View citations (3)
   Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2016) View citations (4)
   See also Journal Article Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets, Journal of Financial Economics, Elsevier (2019) View citations (47) (2019)

2015

3. Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
   See also Journal Article Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model, Journal of Banking & Finance, Elsevier (2017) View citations (6) (2017)
4. Strategic Technology Adoption and Hedging under Incomplete Markets
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
   See also Journal Article Strategic technology adoption and hedging under incomplete markets, Journal of Banking & Finance, Elsevier (2017) View citations (7) (2017)

2013

5. What's Beneath the Surface? Option Pricing with Multifrequency Latent States
   HEC Research Papers Series, HEC Paris View citations (1)
   See also Journal Article What is beneath the surface? Option pricing with multifrequency latent states, Journal of Econometrics, Elsevier (2015) View citations (6) (2015)

2012

6. Are Ratings the Worst Form of Credit Assessment Apart from All the Others?
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (7)
7. 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
   See also Journal Article Time-changed Lévy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube, Journal of Financial Economics, Elsevier (2014) View citations (3) (2014)

2011

8. 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
   See also Journal Article A remark on Lin and Chang's paper ‘Consistent modeling of S&P 500 and VIX derivatives’, Journal of Economic Dynamics and Control, Elsevier (2012) View citations (7) (2012)
9. Collateral Smile
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
   See also Journal Article Collateral smile, Journal of Banking & Finance, Elsevier (2015) View citations (1) (2015)

2005

10. 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 View citations (13)
    See also Journal Article Learning and Asset Prices Under Ambiguous Information, The Review of Financial Studies, Society for Financial Studies (2008) View citations (52) (2008)

2002

11. A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations (5)
    See also Journal Article A geometric approach to multiperiod mean variance optimization of assets and liabilities, Journal of Economic Dynamics and Control, Elsevier (2004) View citations (53) (2004)
12. Asset Pricing Under The Quadratic Class
    Finance, University Library of Munich, Germany View citations (122)
    See also Journal Article Asset Pricing under the Quadratic Class, Journal of Financial and Quantitative Analysis, Cambridge University Press (2002) View citations (118) (2002)
13. Design and Estimation of Quadratic Term Structure Models
    Finance, University Library of Munich, Germany View citations (19)
    See also Journal Article Design and Estimation of Quadratic Term Structure Models, Review of Finance, European Finance Association (2003) View citations (36) (2003)

1999

14. The Potential Approach to Bond and Currency Pricing
    Finance, University Library of Munich, Germany 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 View citations (5)
2. Short-run risk, business cycle, and the value premium
   Journal of Economic Dynamics and Control, 2020, 120, (C) View citations (1)

2019

3. Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
   Journal of Financial Economics, 2019, 131, (3), 593-618 View citations (47)
   See also Working Paper Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets, Swiss Finance Institute Research Paper Series (2016) View citations (3) (2016)
4. Particle filtering, learning, and smoothing for mixed-frequency state-space models
   Econometrics and Statistics, 2019, 12, (C), 25-41 View citations (3)

2018

5. Are Ratings the Worst Form of Credit Assessment Except for All the Others?
   Journal of Financial and Quantitative Analysis, 2018, 53, (1), 299-334 View citations (8)
6. Maximum diversification strategies along commodity risk factors
   European Financial Management, 2018, 24, (1), 53-78 View citations (4)
7. The mixed vs the integrated approach to style investing: Much ado about nothing?
   European Financial Management, 2018, 24, (5), 829-855 View citations (6)

2017

8. Discrete-time option pricing with stochastic liquidity
   Journal of Banking & Finance, 2017, 75, (C), 1-16 View citations (14)
   See also Working Paper Discrete-Time Option Pricing with Stochastic Liquidity, Swiss Finance Institute Research Paper Series (2016) (2016)
9. Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model
   Journal of Banking & Finance, 2017, 77, (C), 78-94 View citations (6)
   See also Working Paper Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model, Swiss Finance Institute Research Paper Series (2015) View citations (1) (2015)
10. Strategic technology adoption and hedging under incomplete markets
    Journal of Banking & Finance, 2017, 81, (C), 181-199 View citations (7)
    See also Working Paper Strategic Technology Adoption and Hedging under Incomplete Markets, Swiss Finance Institute Research Paper Series (2015) (2015)

2015

11. Collateral smile
    Journal of Banking & Finance, 2015, 58, (C), 15-28 View citations (1)
    See also Working Paper Collateral Smile, Swiss Finance Institute Research Paper Series (2011) (2011)
12. What is beneath the surface? Option pricing with multifrequency latent states
    Journal of Econometrics, 2015, 187, (2), 498-511 View citations (6)
    See also Working Paper What's Beneath the Surface? Option Pricing with Multifrequency Latent States, HEC Research Papers Series (2013) View citations (1) (2013)

2014

13. The dispersion effect in international stock returns
    Journal of Empirical Finance, 2014, 29, (C), 331-342 View citations (3)
14. 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 View citations (3)
    See also Working Paper Time-Changed Lévy LIBOR Market Model: Pricing and Joint Estimation of the Cap Surface and Swaption Cube, Swiss Finance Institute Research Paper Series (2012) (2012)

2012

15. 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 View citations (7)
    See also Working Paper A remark on Lin and Chang’s paper ‘Consistent modeling of S&P 500 and VIX derivatives, Swiss Finance Institute Research Paper Series (2011) (2011)
16. Data snooping and the global accrual anomaly
    Applied Financial Economics, 2012, 22, (7), 509-535 View citations (10)
17. Equilibrium Implications of Delegated Asset Management under Benchmarking
    Review of Finance, 2012, 16, (4), 935-984 View citations (1)
18. International price and earnings momentum
    The European Journal of Finance, 2012, 18, (6), 535-573 View citations (15)

2011

19. A New Goodness-of-Fit Test for Event Forecasting and Its Application to Credit Defaults
    Management Science, 2011, 57, (3), 487-505 View citations (3)
20. Multiperiod mean-variance efficient portfolios with endogenous liabilities
    Quantitative Finance, 2011, 11, (10), 1535-1546 View citations (8)

2010

21. The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments
    Journal of Financial and Quantitative Analysis, 2010, 45, (5), 1279-1310 View citations (109)

2009

22. The Valuation of American Options with Stochastic Stopping Time Constraints
    Applied Mathematical Finance, 2009, 16, (3), 287-305 View citations (2)

2008

23. Learning and Asset Prices Under Ambiguous Information
    The Review of Financial Studies, 2008, 21, (6), 2565-2597 View citations (52)
    See also Working Paper Learning and Asset Prices under Ambiguous Information, University of St. Gallen Department of Economics working paper series 2005 (2005) View citations (13) (2005)

2007

24. A simple model of credit contagion
    Journal of Banking & Finance, 2007, 31, (8), 2475-2492 View citations (58)
25. Trend derivatives: Pricing, hedging, and application to executive stock options
    Journal of Futures Markets, 2007, 27, (2), 151-186 View citations (3)

2006

26. Economic benefit of powerful credit scoring
    Journal of Banking & Finance, 2006, 30, (3), 851-873 View citations (42)
27. Equilibrium impact of value-at-risk regulation
    Journal of Economic Dynamics and Control, 2006, 30, (8), 1277-1313 View citations (18)
28. Optimal credit limit management under different information regimes
    Journal of Banking & Finance, 2006, 30, (2), 463-487 View citations (3)

2005

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

2004

31. A geometric approach to multiperiod mean variance optimization of assets and liabilities
    Journal of Economic Dynamics and Control, 2004, 28, (6), 1079-1113 View citations (53)
    See also Working Paper A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities, FAME Research Paper Series (2002) View citations (5) (2002)

2003

32. Design and Estimation of Quadratic Term Structure Models
    Review of Finance, 2003, 7, (1), 47-73 View citations (36)
    See also Working Paper Design and Estimation of Quadratic Term Structure Models, Finance (2002) View citations (19) (2002)

2002

33. Asset Pricing under the Quadratic Class
    Journal of Financial and Quantitative Analysis, 2002, 37, (2), 271-295 View citations (118)
    See also Working Paper Asset Pricing Under The Quadratic Class, Finance (2002) View citations (122) (2002)