Markus Leippold

University of Zurich - Department of Banking and Finance

Hans Vontobel Professor in Financial Engineering

Plattenstrasse 14

Zürich, 8032

Switzerland

University of Zurich - Faculty of Economics, Business Administration and Information Technology

Professor

Plattenstrasse 14

Zürich, 8032

Switzerland

SCHOLARLY PAPERS

51

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CITATIONS
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226

Scholarly Papers (51)

1.
Downloads 3,675 ( 1,784)
Citation 10

The Quantification of Operational Risk

Number of pages: 38 Posted: 30 Dec 2003
Markus Leippold and Paolo Vanini
University of Zurich - Department of Banking and Finance and University of Basel
Downloads 3,675 (1,749)
Citation 10

Abstract:

Operational Risk Management, Stochastic Systems, Diversification, Profitability

The Quantification of Operational Risk

Journal of Risk, Vol. 8, No. 1, Fall 2005
Posted: 08 Nov 2005
Paolo Vanini and Markus Leippold
University of Basel and University of Zurich - Department of Banking and Finance

Abstract:

quantification of operational risk, functional dependencies, node, stochastic risk factors, analytical methocs, numerical methocs, capital allocation, stability, risk figures, network structured, topological diversification, dynamic diversification

2.

Variance Risk Dynamics, Variance Risk Premia, and Optimal Variance Swap Investments

EFA 2006 Zurich Meetings Paper
Number of pages: 60 Posted: 24 May 2006 Last Revised: 19 Nov 2007
Markus Leippold, Liuren Wu and Daniel Egloff
University of Zurich - Department of Banking and Finance, City University of New York, CUNY Baruch College - Zicklin School of Business and QuantAlea GmbH
Downloads 2,180 (4,199)
Citation 14

Abstract:

Return variance swap, equity index options, term structure

3.

A Simple Model of Credit Contagion

EFA 2004 Maastricht Meetings
Number of pages: 55 Posted: 05 Jan 2004 Last Revised: 18 Dec 2008
Markus Leippold, Daniel Egloff and Paolo Vanini
University of Zurich - Department of Banking and Finance, QuantAlea GmbH and University of Basel
Downloads 1,944 (5,168)
Citation 15

Abstract:

Credit Portfolio Risk Management, Contagion, Macroeconomic Deependencies, Microstructural Dependencies, Value-at-Risk, Expected Shortfall

4.

A Geometric Approach To Multiperiod Mean Variance Optimization of Assets and Liabilities

Univ. of Southern Switzerland Working Paper
Number of pages: 42 Posted: 08 Nov 2001
Markus Leippold, Paolo Vanini and Fabio Trojani
University of Zurich - Department of Banking and Finance, University of Basel and University of Geneva
Downloads 1,803 (5,731)
Citation 13

Abstract:

Assets and Liabilities Portfolios, Minimum-Variance Frontiers, Dynamic Programming, Markowitz Model

5.

Algorithms behind Term Structure Models of Interest Rates II: The Hull-White Trinomial Tree of Interest Rates

Hebrew University Working Paper No. int071899
Number of pages: 17 Posted: 30 Nov 2001
Markus Leippold and Zvi Wiener
University of Zurich - Department of Banking and Finance and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 1,693 (6,163)
Citation 1

Abstract:

6.

From Operational Risk to Operational Excellence

Number of pages: 18 Posted: 20 Jul 2003
Paolo Vanini, Markus Leippold and Barbara Doebeli
University of Basel, University of Zurich - Department of Banking and Finance and Swiss National Bank, International Monetary Relations
Downloads 1,570 (7,508)
Citation 2

Abstract:

Profitability, Operational Risk Management, IT-networks, Stochastic Systems

7.

Algorithms behind Term Structure Models of Interest Rates: I. Valuation and Hedging of Interest Rates Derivatives with the Ho-Lee Model

Number of pages: 22 Posted: 30 Nov 2001
Markus Leippold and Zvi Wiener
University of Zurich - Department of Banking and Finance and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 1,220 (10,763)

Abstract:

8.

The Potential Approach to Bond and Currency Pricing

Number of pages: 37 Posted: 17 Apr 1999
Markus Leippold and Liuren Wu
University of Zurich - Department of Banking and Finance and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,079 (14,012)
Citation 3

Abstract:

9.

Equilibrium Impact of Value-at-Risk Regulation

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 64 Posted: 14 Nov 2002
Markus Leippold, Paolo Vanini and Fabio Trojani
University of Zurich - Department of Banking and Finance, University of Basel and University of Geneva
Downloads 1,012 (15,155)
Citation 17

Abstract:

Value-at-Risk, Stochastic Opportunity Set, Regulatory Policy, Dynamic Financial Equilibria, Perturbation Theory

10.

Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models

Number of pages: 34 Posted: 21 May 2003
Markus Leippold and Zvi Wiener
University of Zurich - Department of Banking and Finance and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 993 (15,474)
Citation 1

Abstract:

Short Rate Models, Trinomial Trees, Forward Measure

11.

Economic Benefit of Powerful Credit Scoring

Number of pages: 42 Posted: 31 Jan 2005
Andreas Bloechlinger and Markus Leippold
Zurich Cantonal Bank and University of Zurich - Department of Banking and Finance
Downloads 957 (16,308)

Abstract:

Bank loan pricing, credit scoring, discriminatory power, Receiver Operating Characteristic (ROC)

12.

Quadratic Term Structure Models

LEWU 2000
Number of pages: 54 Posted: 21 Feb 2000
Markus Leippold and Liuren Wu
University of Zurich - Department of Banking and Finance and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 885 (18,860)
Citation 40

Abstract:

13.
Downloads 777 ( 23,548)
Citation 8

Data Snooping and the Global Accrual Anomaly

EFA 2007 Ljubljana Meetings Paper
Number of pages: 43 Posted: 21 Mar 2008 Last Revised: 12 Oct 2010
Markus Leippold and Harald Lohre
University of Zurich - Department of Banking and Finance and Invesco
Downloads 777 (23,159)
Citation 8

Abstract:

Accrual Anomaly, Market Efficiency, Multiple Hypotheses Testing, Momentum Effect

Data Snooping and the Global Accrual Anomaly

Applied Financial Economics, Vol. 22, No. 7, 2012
Posted: 18 Sep 2012
Harald Lohre and Markus Leippold
Invesco and University of Zurich - Department of Banking and Finance

Abstract:

accrual anomaly, market efficiency, multiple hypotheses testing, momentum effect

14.
Downloads 758 ( 24,410)
Citation 6

Asset Pricing with Matrix Jump Diffusions

Number of pages: 57 Posted: 27 Sep 2008 Last Revised: 02 Feb 2010
Markus Leippold and Fabio Trojani
University of Zurich - Department of Banking and Finance and University of Geneva
Downloads 614 (32,236)
Citation 5

Abstract:

affine jump-diffusions, matrix subordinator, stochastic volatility, stochastic correlations, option pricing, portfolio choice, yield curve modeling

Asset Pricing with Matrix Jump Diffusions

Number of pages: 57 Posted: 03 Apr 2010
Markus Leippold and Fabio Trojani
University of Zurich - Department of Banking and Finance and University of Geneva
Downloads 144 (161,220)
Citation 6

Abstract:

Affine jump-diffusions, matrix subordinator, stochastic volatility, stochastic correlations, option pricing, portfolio choice, yield curve models

15.
Downloads 742 ( 25,171)
Citation 18

Learning and Asset Prices under Ambiguous Information

University of St.Gallen Economics Discussion Paper No. 2005-03
Number of pages: 66 Posted: 23 Sep 2004
Paolo Vanini, Markus Leippold and Fabio Trojani
University of Basel, University of Zurich - Department of Banking and Finance and University of Geneva
Downloads 742 (24,773)
Citation 18

Abstract:

Financial equilibria, knightian uncertainty, model misspecification, robust decision making

Learning and Asset Prices Under Ambiguous Information

The Review of Financial Studies, Vol. 21, Issue 6, pp. 2565-2597, 2008
Posted: 15 Dec 2008
Markus Leippold, Fabio Trojani and Paolo Vanini
University of Zurich - Department of Banking and Finance, University of Geneva and University of Basel

Abstract:

G1, G11, G12

16.
Downloads 740 ( 25,256)
Citation 4

International Price and Earnings Momentum

Number of pages: 44 Posted: 17 Mar 2008 Last Revised: 17 Sep 2012
Markus Leippold and Harald Lohre
University of Zurich - Department of Banking and Finance and Invesco
Downloads 740 (24,852)
Citation 4

Abstract:

Earnings Momentum, Price Momentum, Market Efficiency, Multiple Hypotheses Testing, Information Uncertainty, Liquidity

International Price and Earnings Momentum

European Journal of Finance, Vol. 18, No. 5-6, 2012, pp. 535-573
Posted: 18 Sep 2012
Harald Lohre and Markus Leippold
Invesco and University of Zurich - Department of Banking and Finance

Abstract:

earnings momentum, price momentum, market efficiency, multiple hypothesis testing, information uncertainty, liquidity

17.

Optimal Credit Limit Management Under Different Information Regimes

Number of pages: 29 Posted: 12 Oct 2003
Markus Leippold, Paolo Vanini and Silvan Ebnöther
University of Zurich - Department of Banking and Finance, University of Basel and Zurich Cantonal Bank
Downloads 660 (28,179)
Citation 1

Abstract:

Credit risk management, optimal limit policy, partial information, adverse selection

18.

American Options with Stopping Time Constraints

Number of pages: 19 Posted: 12 Sep 2005
Daniel Egloff, Markus Leippold and Walter Farkas
QuantAlea GmbH, University of Zurich - Department of Banking and Finance and University of Zurich, Swiss Finance Institute (SFI) at Department of Banking and Finance
Downloads 620 (30,019)
Citation 1

Abstract:

American options, optimal stopping under constraints, out-performance options, management options

19.

Optimal Importance Sampling for Credit Portfolios with Stochastic Approximation

Number of pages: 25 Posted: 07 Apr 2005
QuantAlea GmbH, University of Zurich - Department of Banking and Finance, University of Zurich - Swiss Banking Institute (ISB) and Zurcher Kantonalbank - Corporate Risk Control
Downloads 597 (32,161)

Abstract:

Credit risk, Monte Carlo simulation, importance sampling, stochastic approximation, Robbins-Monro

20.

A New Goodness-of-Fit Test for Event Forecasting and its Application to Credit Default Models

Number of pages: 49 Posted: 20 Feb 2007 Last Revised: 25 Oct 2010
Andreas Bloechlinger and Markus Leippold
Zurich Cantonal Bank and University of Zurich - Department of Banking and Finance
Downloads 595 (31,254)

Abstract:

Out-of-Sample Validation, Probability Calibration, Hosmer-Lemeshow Statistic, Bernoulli Mixture Models, Credit Risk

21.

Design and Estimation of Multi-Currency Quadratic Models

Number of pages: 54 Posted: 15 Jan 2004
Markus Leippold and Liuren Wu
University of Zurich - Department of Banking and Finance and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 562 (35,354)
Citation 19

Abstract:

Independent currency variation, Quadratic model, Term structure, Exchange rate, Uncovered interest rate parity, Unscented Kalman Filter

Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets

Swiss Finance Institute Research Paper No. 13-40
Number of pages: 75 Posted: 26 Jul 2013 Last Revised: 22 Dec 2016
Chris Bardgett, Elise Gourier and Markus Leippold
University of Zurich - Department of Banking and Finance, Queen Mary, University of London and University of Zurich - Department of Banking and Finance
Downloads 537 (38,535)

Abstract:

S&P 500 and VIX joint modeling, option pricing, particle

Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 69 Posted: 04 Jun 2016 Last Revised: 02 Feb 2017
Chris Bardgett, Elise Gourier and Markus Leippold
University of Zurich - Department of Banking and Finance, Queen Mary, University of London and University of Zurich - Department of Banking and Finance
Downloads 17 (456,864)

Abstract:

S&P 500 and VIX joint modeling, volatility dynamics, particle filter, variance risk premium

23.

Design and Estimation of Quadratic Term Structure Models

ISB Working Paper No. 2002-3
Number of pages: 39 Posted: 20 Jul 2002
Markus Leippold and Liuren Wu
University of Zurich - Department of Banking and Finance and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 523 (38,965)
Citation 42

Abstract:

quadratic model, term structure, positive interest rates, humps, expectation hypothesis, GMM

24.

Efficient Portfolios with Endogenous Liabilities

Swiss Banking Institute Working Paper No. WP L3
Number of pages: 26 Posted: 23 Apr 2003
Markus Leippold, Paolo Vanini and Fabio Trojani
University of Zurich - Department of Banking and Finance, University of Basel and University of Geneva
Downloads 500 (40,105)
Citation 1

Abstract:

Assets and Liabilities, Mean-Variance Frontiers, Markowitz Model, Endogenous Liabilities, Grassmann Algebra

25.

Trend Derivatives: Pricing, Hedging, and Application to Executive Stock Options

Number of pages: 44 Posted: 18 Aug 2005
Markus Leippold and Juerg M. Syz
University of Zurich - Department of Banking and Finance and Diener Syz Real Estate
Downloads 443 (47,393)
Citation 1

Abstract:

Time diversification, regression, trend derivatives, executive stock option plans

26.

Don't Rely on VAR

Euromoney, November 2004
Number of pages: 5 Posted: 18 Apr 2007
Markus Leippold
University of Zurich - Department of Banking and Finance
Downloads 430 (48,573)
Citation 1

Abstract:

Value at Risk, Regulation

27.

Are Ratings the Worst Form of Credit Assessment Apart from All the Others?

Swiss Finance Institute Research Paper No. 12-09
Number of pages: 62 Posted: 28 Feb 2012 Last Revised: 27 Jun 2016
Andreas Bloechlinger and Markus Leippold
Zurich Cantonal Bank and University of Zurich - Department of Banking and Finance
Downloads 415 (42,118)
Citation 1

Abstract:

credit rating agencies, distance to default, z-score, zeta-score, default prediction

28.

Half as Many Cheers - The Multiplier Reviewed

Number of pages: 4 Posted: 02 Jun 2003
Paolo Vanini and Markus Leippold
University of Basel and University of Zurich - Department of Banking and Finance
Downloads 376 (57,601)
Citation 4

Abstract:

29.

What's Beneath the Surface? Option Pricing with Multifrequency Latent States

HEC Paris Research Paper No. 969/2013
Number of pages: 52 Posted: 07 Nov 2012 Last Revised: 17 Oct 2014
EDHEC Business School - Department of Economics & Finance, HEC Paris - Department of Finance, University of British Columbia (UBC) - Sauder School of Business and University of Zurich - Department of Banking and Finance
Downloads 369 (52,076)

Abstract:

Markov-switching multifractal, particle filter, regime-switching, stochastic volatility, jump-risk premium, option pricing

30.

Quantile Estimation with Adaptive Importance Sampling

Number of pages: 39 Posted: 25 Jul 2007 Last Revised: 03 Nov 2009
Daniel Egloff and Markus Leippold
QuantAlea GmbH and University of Zurich - Department of Banking and Finance
Downloads 348 (61,300)

Abstract:

Quantile Estimation, Adaptive Importance Sampling, Credit Risk, Stochastic Approximation

31.

Collateral Smile

Swiss Finance Institute Research Paper No. 11-51
Number of pages: 45 Posted: 08 Nov 2011 Last Revised: 29 Sep 2014
Markus Leippold and Lujing Su
University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 322 (59,950)

Abstract:

collateral requirements, funding costs, volatility smile, option pricing

32.

The Dispersion Effect in International Stock Returns

Journal of Empirical Finance, Vol. 29, December 2014, pp. 331–342,
Number of pages: 25 Posted: 01 Jun 2008 Last Revised: 28 Aug 2015
Markus Leippold and Harald Lohre
University of Zurich - Department of Banking and Finance and Invesco
Downloads 306 (70,967)
Citation 1

Abstract:

International Dispersion Effect, Information Uncertainty, Liquidity

33.

Maximum Diversification Strategies Along Commodity Risk Factors

European Financial Management, 2017, Forthcoming
Number of pages: 37 Posted: 08 Jul 2013 Last Revised: 07 Jan 2017
Simone Bernardi, Markus Leippold and Harald Lohre
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and Invesco
Downloads 297 (52,836)

Abstract:

commodity strategies, risk-based portfolio construction, risk parity, diversification

34.

The Trend is Your Friend: Absence of Pin Risk in Trend Options and Time Diversification

Number of pages: 9 Posted: 09 Sep 2005
Markus Leippold and Juerg M. Syz
University of Zurich - Department of Banking and Finance and Diener Syz Real Estate
Downloads 269 (80,098)

Abstract:

Time Diversification, Regression, PIN Risk

35.

Time-Changed Lévy LIBOR Market Model: Pricing and Joint Estimation of the Cap Surface and Swaption Cube

Swiss Finance Institute Research Paper No. 12-23
Number of pages: 68 Posted: 24 May 2012 Last Revised: 22 May 2013
Markus Leippold and Jacob Stromberg
University of Zurich - Department of Banking and Finance and Swiss Finance Institute
Downloads 256 (78,301)

Abstract:

LIBOR market models, time-changed Lévy process, caps volatilities, swaption cube, unscented Kalman filter

36.

Equilibrium Implications of Delegated Asset Management Under Benchmarking

Number of pages: 50 Posted: 21 Nov 2008 Last Revised: 31 Mar 2012
Markus Leippold and Philippe Rohner
University of Zurich - Department of Banking and Finance and University of Zurich - Swiss Banking Institute (ISB)
Downloads 213 (99,726)
Citation 2

Abstract:

Portfolio Delegation, Benchmarking, General Equilibrium, Equity Risk Premia

37.

Fundamental Theorem of Asset Pricing on Measurable Spaces Under Uncertainty

Number of pages: 22 Posted: 02 May 2013 Last Revised: 12 May 2013
Markus Leippold and Meriton Ibraimi
University of Zurich - Department of Banking and Finance and University of Zurich - Swiss Banking Institute (ISB)
Downloads 184 (107,886)

Abstract:

Fundamental Theorem of Asset Pricing, uncertainty, multiple priors

38.

Value-at-Risk and Other Risk Measures

Number of pages: 35 Posted: 17 Mar 2015 Last Revised: 23 May 2016
Markus Leippold
University of Zurich - Department of Banking and Finance
Downloads 177 (68,613)

Abstract:

Value-at-Risk, Spectral Risk Measures, Markowitz optimization

Economic Policy Uncertainty and the Yield Curve

Number of pages: 60 Posted: 24 Sep 2015
Markus Leippold and Felix Matthys
University of Zurich - Department of Banking and Finance and ITAM
Downloads 90 (228,922)

Abstract:

Term structure modeling, yield volatility curve, policy uncertainty, bond risk premia

Economic Policy Uncertainty and the Yield Curve

Number of pages: 66 Posted: 07 Oct 2015
Markus Leippold and Felix Matthys
University of Zurich - Department of Banking and Finance and ITAM
Downloads 76 (254,482)

Abstract:

Term structure modeling, yield volatility curve, policy uncertainty, bond risk premia

40.

How Index Futures and ETFs Affect Stock Return Correlations

Number of pages: 53 Posted: 21 Jun 2015 Last Revised: 24 Aug 2016
Markus Leippold, Lujing Su and Alexandre Ziegler
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 166 (81,057)

Abstract:

Asset correlations, limits to arbitrage, ETFs, futures

41.

A Remark on Lin and Chang's Paper 'Consistent Modeling of S&P 500 and VIX Derivatives'

Swiss Finance Institute Research Paper No. 11-54
Number of pages: 21 Posted: 17 Nov 2011
Jun Cheng, Meriton Ibraimi, Markus Leippold and Jin E. Zhang
Shanghai Stock Exchange, University of Zurich - Swiss Banking Institute (ISB), University of Zurich - Department of Banking and Finance and University of Otago, Otago Business School, Department of Accountancy and Finance
Downloads 148 (137,952)

Abstract:

VIX option pricing, affine jump di usion, characteristic function

42.

Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model

Swiss Finance Institute Research Paper No. 15-08
Number of pages: 43 Posted: 03 Mar 2015 Last Revised: 04 Mar 2015
Markus Leippold and Nikola Vasiljevic
University of Zurich - Department of Banking and Finance and University of Zurich
Downloads 102 (124,054)

Abstract:

American options, early exercise premium, hyper-exponential jump-diffusion model, maturity randomization, jump-diffusion disentanglement.

43.

A Robust Fundamental Theorem of Asset Pricing with Discrete Martingale Measures

Number of pages: 25 Posted: 09 Oct 2014 Last Revised: 19 May 2015
Meriton Ibraimi, Markus Leippold and Felix Stang
University of Zurich - Swiss Banking Institute (ISB), University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 93 (159,952)

Abstract:

Fundamental Theorem of Asset Pricing, uncertainty, multiple prior, P-arbitrage.

44.

Strategic Technology Adoption and Hedging under Incomplete Markets

Swiss Finance Institute Research Paper No. 14-73
Number of pages: 53 Posted: 18 Oct 2014 Last Revised: 06 Jan 2015
Markus Leippold and Jacob Stromberg
University of Zurich - Department of Banking and Finance and Swiss Finance Institute
Downloads 73 (181,064)

Abstract:

Real Options; Incomplete Markets; Technology Adoption; Optimal Portfolio Choice; Hedging

45.

Endogenous Markov Switching Regression Models for High-Frequency Data Under Microstructure Noise

Number of pages: 40 Posted: 29 May 2015 Last Revised: 31 May 2015
Markus Leippold and Felix Matthys
University of Zurich - Department of Banking and Finance and ITAM
Downloads 62 (214,805)

Abstract:

Endogeneous regime switching, microstructure noise, realized volatility, endogeneity plot.

46.

The Mixed vs the Integrated Approach to Style Investing: Much Ado About Nothing?

Number of pages: 38 Posted: 19 Dec 2016 Last Revised: 23 Dec 2016
Markus Leippold and Roger Rüegg
University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 0 (202,058)

Abstract:

factor investing, integrated and mixed approach, value, momentum, low volatility

47.

Particle Filtering, Learning, and Smoothing for Mixed-Frequency State-Space Models

Number of pages: 51 Posted: 22 Oct 2016 Last Revised: 01 Nov 2016
Markus Leippold and Hanlin Yang
University of Zurich - Department of Banking and Finance and University of Zurich
Downloads 0 (318,110)

Abstract:

Mixed-frequency, State-space Models, Particle Filtering, Particle Learning, Smoothing, Parameter Estimation, Real-time Learning, Confounded Learning

48.

Option-Implied Intra-Horizon Risk and First-Passage Disentanglement

Number of pages: 66 Posted: 06 Jul 2016
Markus Leippold and Nikola Vasiljevic
University of Zurich - Department of Banking and Finance and University of Zurich
Downloads 0 (252,031)

Abstract:

value at risk, intra-horizon risk, displaced mixed-exponential model, first-passage disentanglement, option-implied estimates

49.

Discrete-Time Option Pricing with Stochastic Liquidity

Swiss Finance Institute Research Paper No. 16-15
Number of pages: 46 Posted: 08 Mar 2016 Last Revised: 07 Sep 2016
Markus Leippold and Steven Schaerer
University of Zurich - Department of Banking and Finance and University of Zurich, Students
Downloads 0 (175,535)

Abstract:

Market Liquidity; Bid-Ask Spreads; Option Pricing; Stochastic Liquidity; Conic Finance

50.

A Remark on Lin and Chang's Paper ‘Consistent Modeling of S&P 500 and Vix Derivatives’

Journal of Economic Dynamics and Control, Vol. 36, No. 5, 2012
Posted: 03 Oct 2012
Jun Cheng, Meriton Ibraimi, Markus Leippold and Jin E. Zhang
Shanghai Stock Exchange, University of Zurich - Swiss Banking Institute (ISB), University of Zurich - Department of Banking and Finance and University of Otago, Otago Business School, Department of Accountancy and Finance

Abstract:

VIX option pricing, affine jump diffusion, characteristic function

51.

Asset Pricing under the Quadratic Class

Journal of Financial and Quantitative Analysis, Vol. 37, No. 2, June 2002
Posted: 27 Oct 2002
Markus Leippold and Liuren Wu
University of Zurich - Department of Banking and Finance and City University of New York, CUNY Baruch College - Zicklin School of Business

Abstract: