IDEAS home Printed from https://ideas.repec.org/f/ple204.html
   My authors  Follow this author

Markus Leippold

Personal Details

First Name:Markus
Middle Name:
Last Name:Leippold
Suffix:
RePEc Short-ID:ple204
http://www.isb.unizh.ch/institut/staff/leippold.markus/

Affiliation

(in no particular order)

Institut für Banking und Finance (Institut für Schweizerisches Bankwesen) (Department of Banking and Finance (Swiss Banking Institute))
Wirtschaftswissenschaftliche Fakutält (Faculty of Economics)
Universität Zürich (University of Zurich)

Zürich, Switzerland
http://www.bf.uzh.ch/
RePEc:edi:isbzhch (more details at EDIRC)

Swiss Finance Institute

Genève/Zürich, Switzerland
http://www.swissfinanceinstitute.ch/
RePEc:edi:fameech (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Markus Leippold & Steven Schaerer, 2016. "Discrete-Time Option Pricing with Stochastic Liquidity," Swiss Finance Institute Research Paper Series 16-15, Swiss Finance Institute.
  2. Markus LEIPPOLD & Nikola VASILJEVIC, 2015. "Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model," Swiss Finance Institute Research Paper Series 15-08, Swiss Finance Institute, revised Mar 2015.
  3. Markus LEIPPOLD & Jacob STROMBERG, 2014. "Strategic Technology Adoption and Hedging under Incomplete Markets," Swiss Finance Institute Research Paper Series 14-73, Swiss Finance Institute, revised Jan 2015.
  4. Chris Bardgett & Elise Gourier & Markus Leippold, 2013. "Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets," Swiss Finance Institute Research Paper Series 13-40, Swiss Finance Institute, revised Dec 2016.
  5. Calvet , Laurent E. & Fearnley, Marcus & Adlai J. , Fisher & Markus, Leippold, 2013. "What's Beneath the Surface? Option Pricing with Multifrequency Latent States," HEC Research Papers Series 969, HEC Paris.
  6. Andreas Bloechlinger & Markus Leippold, 2012. "Are Ratings the Worst Form of Credit Assessment Apart from All the Others?," Swiss Finance Institute Research Paper Series 12-09, Swiss Finance Institute.
  7. Markus Leippold & Jacob Stromberg, 2012. "Time-Changed Lévy LIBOR Market Model: Pricing and Joint Estimation of the Cap Surface and Swaption Cube," Swiss Finance Institute Research Paper Series 12-23, Swiss Finance Institute.
  8. Jun CHENG & Meriton IBRAIMI & Markus LEIPPOLD & Jin E. ZHANG, 2011. "A remark on Lin and Chang’s paper ‘Consistent modeling of S&P 500 and VIX derivatives," Swiss Finance Institute Research Paper Series 11-54, Swiss Finance Institute.
  9. Markus LEIPPOLD & Lujing SU, 2011. "Collateral Smile," Swiss Finance Institute Research Paper Series 11-51, Swiss Finance Institute.
  10. Fabio Trojani & Markus Leippold & Paolo Vanini, 2005. "Learning and Asset Prices under Ambiguous Information," University of St. Gallen Department of Economics working paper series 2005 2005-03, Department of Economics, University of St. Gallen.
  11. Markus Leippold & Liuren Wu, 2002. "Design and Estimation of Quadratic Term Structure Models," Finance 0207014, University Library of Munich, Germany.
  12. Markus LEIPPOLD & Fabio TROJANI & Paolo VANINI, 2002. "A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities," FAME Research Paper Series rp48, International Center for Financial Asset Management and Engineering.
  13. Markus Leippold & Liuren Wu, 2002. "Asset Pricing Under The Quadratic Class," Finance 0207015, University Library of Munich, Germany.
  14. Markus Leippold & Liuren Wu, 1999. "The Potential Approach to Bond and Currency Pricing," Finance 9903004, University Library of Munich, Germany.
    repec:qmw:qmwecw:wp780 is not listed on IDEAS

Articles

  1. He, Yunhao & Leippold, Markus, 2020. "Short-run risk, business cycle, and the value premium," Journal of Economic Dynamics and Control, Elsevier, vol. 120(C).
  2. Markus Leippold & Roger Rueegg, 2020. "How Rational and Competitive Is the Market for Mutual Funds?," Review of Finance, European Finance Association, vol. 24(3), pages 579-613.
  3. Leippold, Markus & Yang, Hanlin, 2019. "Particle filtering, learning, and smoothing for mixed-frequency state-space models," Econometrics and Statistics, Elsevier, vol. 12(C), pages 25-41.
  4. Bardgett, Chris & Gourier, Elise & Leippold, Markus, 2019. "Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets," Journal of Financial Economics, Elsevier, vol. 131(3), pages 593-618.
  5. Blöchlinger, Andreas & Leippold, Markus, 2018. "Are Ratings the Worst Form of Credit Assessment Except for All the Others?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(1), pages 299-334, February.
  6. Markus Leippold & Roger Rueegg, 2018. "The mixed vs the integrated approach to style investing: Much ado about nothing?," European Financial Management, European Financial Management Association, vol. 24(5), pages 829-855, November.
  7. Simone Bernardi & Markus Leippold & Harald Lohre, 2018. "Maximum diversification strategies along commodity risk factors," European Financial Management, European Financial Management Association, vol. 24(1), pages 53-78, January.
  8. Leippold, Markus & Stromberg, Jacob, 2017. "Strategic technology adoption and hedging under incomplete markets," Journal of Banking & Finance, Elsevier, vol. 81(C), pages 181-199.
  9. Leippold, Markus & Vasiljević, Nikola, 2017. "Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 78-94.
  10. Leippold, Markus & Schärer, Steven, 2017. "Discrete-time option pricing with stochastic liquidity," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 1-16.
  11. Calvet, Laurent E. & Fearnley, Marcus & Fisher, Adlai J. & Leippold, Markus, 2015. "What is beneath the surface? Option pricing with multifrequency latent states," Journal of Econometrics, Elsevier, vol. 187(2), pages 498-511.
  12. Leippold, Markus & Su, Lujing, 2015. "Collateral smile," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 15-28.
  13. Leippold, Markus & Lohre, Harald, 2014. "The dispersion effect in international stock returns," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 331-342.
  14. Leippold, Markus & Strømberg, Jacob, 2014. "Time-changed Lévy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube," Journal of Financial Economics, Elsevier, vol. 111(1), pages 224-250.
  15. Cheng, Jun & Ibraimi, Meriton & Leippold, Markus & Zhang, Jin E., 2012. "A remark on Lin and Chang's paper ‘Consistent modeling of S&P 500 and VIX derivatives’," Journal of Economic Dynamics and Control, Elsevier, vol. 36(5), pages 708-715.
  16. Markus Leippold & Harald Lohre, 2012. "International price and earnings momentum," The European Journal of Finance, Taylor & Francis Journals, vol. 18(6), pages 535-573, July.
  17. Markus Leippold & Philippe Rohner, 2012. "Equilibrium Implications of Delegated Asset Management under Benchmarking," Review of Finance, European Finance Association, vol. 16(4), pages 935-984.
  18. Andreas Blöchlinger & Markus Leippold, 2011. "A New Goodness-of-Fit Test for Event Forecasting and Its Application to Credit Defaults," Management Science, INFORMS, vol. 57(3), pages 487-505, March.
  19. Markus Leippold & Fabio Trojani & Paolo Vanini, 2011. "Multiperiod mean-variance efficient portfolios with endogenous liabilities," Quantitative Finance, Taylor & Francis Journals, vol. 11(10), pages 1535-1546.
  20. Egloff, Daniel & Leippold, Markus & Wu, Liuren, 2010. "The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(5), pages 1279-1310, October.
  21. Daniel Egloff & Markus Leippold, 2009. "The Valuation of American Options with Stochastic Stopping Time Constraints," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(3), pages 287-305.
  22. Markus Leippold & Fabio Trojani & Paolo Vanini, 2008. "Learning and Asset Prices Under Ambiguous Information," The Review of Financial Studies, Society for Financial Studies, vol. 21(6), pages 2565-2597, November.
  23. Markus Leippold & Jürg Syz, 2007. "Trend derivatives: Pricing, hedging, and application to executive stock options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 27(2), pages 151-186, February.
  24. Egloff, Daniel & Leippold, Markus & Vanini, Paolo, 2007. "A simple model of credit contagion," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2475-2492, August.
  25. Leippold, Markus & Trojani, Fabio & Vanini, Paolo, 2006. "Equilibrium impact of value-at-risk regulation," Journal of Economic Dynamics and Control, Elsevier, vol. 30(8), pages 1277-1313, August.
  26. Leippold, Markus & Vanini, Paolo & Ebnoether, Silvan, 2006. "Optimal credit limit management under different information regimes," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 463-487, February.
  27. Blochlinger, Andreas & Leippold, Markus, 2006. "Economic benefit of powerful credit scoring," Journal of Banking & Finance, Elsevier, vol. 30(3), pages 851-873, March.
  28. Leippold, Markus, 2005. "Statistics, Econometrics and Forecasting. Arnold Zellner," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 1458-1458, December.
  29. Markus Leippold & Zvi Wiener, 2005. "Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models," Review of Derivatives Research, Springer, vol. 7(3), pages 213-239, October.
  30. Leippold, Markus & Trojani, Fabio & Vanini, Paolo, 2004. "A geometric approach to multiperiod mean variance optimization of assets and liabilities," Journal of Economic Dynamics and Control, Elsevier, vol. 28(6), pages 1079-1113, March.
  31. Markus Leippold & Liuren Wu, 2003. "Design and Estimation of Quadratic Term Structure Models," Review of Finance, European Finance Association, vol. 7(1), pages 47-73.
  32. Leippold, Markus & Wu, Liuren, 2002. "Asset Pricing under the Quadratic Class," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(2), pages 271-295, June.

    RePEc:inm:ormnsc:v:66:y:2020:i:1:p:397-414 is not listed on IDEAS
    RePEc:taf:apfiec:v:22:y:2012:i:7:p:509-535 is not listed on IDEAS

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Journal Pages, Weighted by Simple Impact Factor
  2. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 5 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ORE: Operations Research (3) 2013-11-14 2016-01-18 2017-02-12
  2. NEP-COM: Industrial Competition (1) 2016-07-30
  3. NEP-CSE: Economics of Strategic Management (1) 2016-07-30
  4. NEP-FIN: Finance (1) 2005-05-29
  5. NEP-INO: Innovation (1) 2016-07-30
  6. NEP-MAC: Macroeconomics (1) 2017-02-12
  7. NEP-RMG: Risk Management (1) 2016-01-18

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Markus Leippold should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.