Dietmar Leisen

Johannes Gutenberg University Mainz - Department of Banking

Professor of Banking

Jakob-Welder-Weg 9

Mainz, D-55099

Germany

http://www.finserv.bwl.uni-mainz.de/index_ENG.php

SCHOLARLY PAPERS

18

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CITATIONS
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16

Scholarly Papers (18)

1.

Building a Consistent Pricing Model from Observed Option Prices

Stanford University, Hoover Institution Working Paper No. B-443
Number of pages: 25 Posted: 22 Jan 1999
Dietmar Leisen and Jean-Paul Laurent
Johannes Gutenberg University Mainz - Department of Banking and University Paris 1 Panthéon - Sorbonne, PRISM Sorbonne & Labex ReFi
Downloads 861 (26,505)
Citation 8

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Valuation of Barrier Options in a Black-Scholes Setup with Jump Risk

SFB 303 Working Paper No. B - 446
Number of pages: 28 Posted: 08 Oct 1999
Dietmar Leisen
Johannes Gutenberg University Mainz - Department of Banking
Downloads 630 (40,014)

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Valuation of Barrier Options in a Black-Scholes Setup with Jump Risk

European Finance Review, Vol. 3, No. 3
Posted: 29 Mar 2001
Dietmar Leisen
Johannes Gutenberg University Mainz - Department of Banking

Abstract:

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barrier option, binomial model, lattice-approach, option valuation

3.

A Partial Equilibrium Model of Option Markets

EFA 0138
Number of pages: 25 Posted: 16 Oct 2000
Dietmar Leisen and Kenneth L. Judd
Johannes Gutenberg University Mainz - Department of Banking and Stanford University - The Hoover Institution on War, Revolution and Peace
Downloads 496 (55,229)
Citation 3

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heterogeneity, equilibrium, demand, supply, prices.

4.

The Random-Time Binomial Model

Number of pages: 34 Posted: 10 Dec 1997
Dietmar Leisen
Johannes Gutenberg University Mainz - Department of Banking
Downloads 378 (76,740)
Citation 1

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Does Bonus Deferral Reduce Risk Taking?

Number of pages: 28 Posted: 22 Aug 2010 Last Revised: 23 Jul 2014
Dietmar Leisen
Johannes Gutenberg University Mainz - Department of Banking
Downloads 340 (86,216)

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bonus, risk, risk aversion, deferral ratio

Does Bonus Deferral Reduce Risk-Taking?

Journal of Risk, Vol. 18, No. 2, 2015
Number of pages: 24 Posted: 25 Jun 2016
Dietmar Leisen
Johannes Gutenberg University Mainz - Department of Banking
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bonus, risk-taking, risk aversion, deferral ratio

6.

Valuing Common and Preferred Shares in Venture Capital Financings

Number of pages: 28 Posted: 12 Jun 2010 Last Revised: 05 Sep 2010
Dietmar Leisen
Johannes Gutenberg University Mainz - Department of Banking
Downloads 284 (105,721)

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7.

Dynamic Risk Taking with Bonus Schemes

Number of pages: 35 Posted: 05 Feb 2011 Last Revised: 12 May 2014
Dietmar Leisen
Johannes Gutenberg University Mainz - Department of Banking
Downloads 180 (165,210)
Citation 3

Abstract:

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Bonus, Risk, Incentives, Options

8.

Staged Venture Capital Contracting with Ratchets and Liquidation Rights

Number of pages: 32 Posted: 09 Dec 2009 Last Revised: 01 Aug 2011
Dietmar Leisen
Johannes Gutenberg University Mainz - Department of Banking
Downloads 175 (169,431)
Citation 1

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options, venture capital, preference rights

9.

Contract and Asset Values in Venture Capital Financings

Number of pages: 18 Posted: 15 Mar 2009 Last Revised: 23 Oct 2009
Dietmar Leisen
Johannes Gutenberg University Mainz - Department of Banking
Downloads 167 (176,485)

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venture capital, preference rights, expected returns

10.

Investing for the Long Run

Number of pages: 38 Posted: 11 May 2017 Last Revised: 29 Mar 2019
Dietmar Leisen, Eckhard Platen and Jin Sun
Johannes Gutenberg University Mainz - Department of Banking, University of Technology, Sydney (UTS) - Finance Discipline Group and University of Technology Sydney (UTS)
Downloads 154 (189,021)

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stochastic discount factor, minimum pricing, optimal portfolio, growth optimal portfolio, dynamic Kelly strategy

11.

A Perturbation Approach to Continuous-Time Portfolio Selection

Number of pages: 38 Posted: 27 Sep 2013 Last Revised: 01 Jun 2016
Dietmar Leisen
Johannes Gutenberg University Mainz - Department of Banking
Downloads 146 (197,532)

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perturbation, hedge demand, consumption, stochastic state variables

12.

Systemic Risk in a Structural Model of Bank Default Linkages

Number of pages: 46 Posted: 06 Dec 2015 Last Revised: 17 May 2017
Yvonne Kreis and Dietmar Leisen
Gutenberg University of Mainz and Johannes Gutenberg University Mainz - Department of Banking
Downloads 125 (223,425)
Citation 1

Abstract:

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default, structural model, systemic risk, macro-prudential regulation

13.

The Shape of Small Sample Biases in Pricing Kernel Estimations

Number of pages: 34 Posted: 17 Mar 2014 Last Revised: 22 Sep 2016
Dietmar Leisen
Johannes Gutenberg University Mainz - Department of Banking
Downloads 86 (288,636)
Citation 3

Abstract:

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small sample bias, pricing kernel puzzle, implied volatility, kernel density estimation

14.

When the Remedy Is the Problem: Independent Boards, Short-Termism, and the Subprime Crisis

31st Australasian Finance and Banking Conference 2018
Number of pages: 34 Posted: 14 Jun 2018 Last Revised: 24 Jan 2019
Dietmar Leisen and Peter L. Swan
Johannes Gutenberg University Mainz - Department of Banking and University of New South Wales (UNSW Sydney
Downloads 84 (292,802)

Abstract:

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G21; G32; G34

15.

Minimal Dynamic Equilibria

Number of pages: 20 Posted: 28 Mar 2018 Last Revised: 14 May 2019
David Feldman and Dietmar Leisen
Banking and Finance, UNSW Business School, UNSW Sydney and Johannes Gutenberg University Mainz - Department of Banking
Downloads 54 (370,864)

Abstract:

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Minimal, Dynamic, Equilibrium, Higher Moments, Risk Premium, Pricing Kernel, SDF

16.

Heterogeneity in Risk Preferences Leads to Stochastic Volatility

Number of pages: 30 Posted: 29 Jun 2018
Dietmar Leisen
Johannes Gutenberg University Mainz - Department of Banking
Downloads 16 (538,607)
Citation 1

Abstract:

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stochastic volatility, state-dependent volatility, heterogeneity

17.

Binomial Models for Option Valuation - Examining and Improving Convergence

Posted: 10 Aug 1999
Dietmar Leisen and Matthias Reimer
Johannes Gutenberg University Mainz - Department of Banking and University of Bonn - Institute of Statistics

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18.

Pricing the American Put Option: A Detailed Convergence Analysis for Binomial Models

B366
Posted: 03 Jul 1998
Dietmar Leisen
Johannes Gutenberg University Mainz - Department of Banking

Abstract:

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