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Number of items: 42.

Bloechlinger, Andreas; Leippold, Markus (2018). Are ratings the worst form of credit assessment apart from all the others? Journal of Financial and Quantitative Analysis:Epub ahead of print.

Leippold, Markus; Stromberg, Jacob (2017). Strategic technology adoption and hedging under incomplete markets. Journal of Banking and Finance, 81:181-199.

Leippold, Markus; Vasiljevic, Nikola (2017). Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model. Journal of Banking and Finance, 77:78-94.

Leippold, Markus; Schärer, Steven (2017). Discrete-time option pricing with stochastic liquidity. Journal of Banking and Finance, 75:1-16.

Yang, Hanlin; Leippold, Markus (2016). Particle Filtering, Learning, and Smoothing for Mixed-Frequency State-Space Models. , University of Zurich.

Leippold, Markus; Vasiljevic, Nikola (2016). Option-Implied Intra-Horizon Risk and First-Passage Disentanglement. SSRN 2804702, University of Zurich.

Leippold, Markus; Su, Lujing (2015). Collateral smile. Journal of Banking and Finance, 58:15 - 28.

Calvet, Laurent; Fearnley, Marcus; Fisher, Adlai; Leippold, Markus (2015). What is beneath the surface? Option pricing with multifrequency latent states. Journal of Econometrics, 187(2):498-511.

Bardgett, Chris; Gourier, Elise; Leippold, Markus (2015). Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets. Swiss Finance Institute Research Paper 13-40, University of Zurich.

Leippold, Markus; Lohre, Harald (2014). The Dispersion Effect in International Stock Returns. Journal of Empirical Finance, 29:331-342.

Leippold, Markus; Stromberg, Jacob (2014). Time-changed Levy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube. Journal of Financial Economics, 111(1):224-250.

Leippold, Markus; Bloechlinger, Andreas; Maire, Basile (2013). Are ratings the worst form of credit assessment apart from all the others? Swiss Finance Institute Research Paper 12-09, University of Zurich.

Leippold, Markus; Su, Lujing (2013). Collateral Smile. Swiss Finance Institute Research Paper Series 11-51, University of Zurich.

Leippold, Markus; Ibraimi, Meriton (2013). The Fundamental Theorem of Asset Pricing on Measurable Spaces under Uncertainty. SSRN 2257882, University of Zurich.

Calvet, Laurent; Fisher, Adlai; Leippold, Markus (2013). What's Beneath the Surface? Option Pricing with Multifrequency Latent States. HEC Paris Research Paper 969/2013, University of Zurich.

Leippold, Markus; Cheng, Jun; Ibraimi, Meriton; Zhang, Jin E (2012). A remark on Lin's and Chang's pager 'Consistent modelling of S&P500 and VIX derivatives'. Journal of Economic Dynamics and Control, 36(5):716-718.

Leippold, Markus; Lohre, Harald (2012). Data snooping and the global accrual anomaly. Applied Financial Economics, 22(7):509-535.

Leippold, Markus; Rohner, Philippe (2012). Equilibrium implications of delegated asset management under benchmarking. Review of Finance, 16(4):935-984.

Leippold, Markus; Lohre, Harald (2012). International price and earnings momentum. European Journal of Finance, 18(6):535-573.

Stromberg, Jacob; Leippold, Markus (2012). Time-Changed Levy LIBOR Market Model for the Joint Estimation and Pricing of Caps and Swaptions. SFI Research Paper Series 12-23, Swiss Finance Institute.

Leippold, Markus; Bloechlinger, Andreas (2011). A new goodness of fit test for event forecasting and its application to credit default. Management Science, 57(3):487-505.

Leippold, Markus (2011). Alpha. In: Gregoriou, Greg N. Encylopedia of Alternative Investments. Boca Raton: Chapman & Hall, 13.

Leippold, Markus; Trojani, Fabio; Vanini, Paolo (2011). Multiperiod mean-variance efficient portfolios with endogenous liabilities. Quantitative Finance, 11(10):1535-1546.

Leippold, Markus; Egloff, Daniel (2010). Quantile Estimation with Adaptive Importance Sampling. Annals of Statistics, 38(2):1244-1278.

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, 45(5):1279-1310.

Leippold, Markus; Egloff, Daniel (2009). American Options with Stochastic Stopping Time Constraints. Applied Mathematical Finance, 16(3):287-305.

Leippold, Markus (2008). Drawdown. In: Gregoriou, Greg N. Encylopedia of Alternative Investments. Boca Raton: Chapman & Hall, 153-154.

Leippold, Markus (2008). Information Ratio. In: Gregoriou, Greg N. Encylopedia of Alternative Investments. Boca Raton: Chapman & Hall, 237.

Leippold, Markus; Vanini, Paolo; Trojani, Fabio (2008). Learning and Asset Pricing under Uncertainty. Review of Financial Studies, 21(6):2565-2597.

Leippold, Markus (2008). Manager Skills. In: Gregoriou, Greg N. Encylopedia of Alternative Investments. Boca Raton: Chapman & Hall, 284-285.

Leippold, Markus (2008). Value at Risk. In: Gregoriou, Greg N. Encylopedia of Alternative Investments. Boca Raton: Chapman & Hall, 499-501.

Vanini, Paolo; Egloff, Daniel; Leippold, Markus (2007). A simple model of credit contagion. Journal of Banking and Finance, 31(8):2475-2492.

Syz, Jürg; Leippold, Markus (2007). Trend derivatives: pricing, hedging, and application to executive stock options. Journal of Futures Markets, 27(2):151-186.

Leippold, Markus; Wu, Liuren (2007). Design and estimation of multi-currency quadratic models. Review of Finance, 11(2):167-207.

Leippold, Markus (2006). Business Dependencies in Credit Risk Portfolios. In: Stewart, Henri. Risk Management. London.

Vanini, Paolo; Trojani, Fabio; Leippold, Markus (2006). Equilibrium impact of value-at-risk regulation. Journal of Economic Dynamics and Control, 30:1277-1313.

Leippold, Markus; Morger, Felix (2006). International Stock Portfolios and Optimal Currency Hedging with Regime Switching. In: Gregoriou, Greg N. Asset Allocation and International Investments. London.

Vanini, Paolo; Ebnoether, Silvan; Leippold, Markus (2006). Optimal credit limit management under different information regimes. Journal of Banking and Finance, 30:463-487.

Leippold, Markus; Jöhri, Stephan (2006). Quantitative Hedge Fund Selection for Fund of Funds. In: Gregoriou, Greg N. Fund of Hedge Funds: Performance, Assessment, Diversication and Statistical Properties. London.

Blöchlinger, Andreas; Leippold, Markus (2006). The economic benefit of powerful credit scoring. Journal of Banking and Finance, 30:851-873.

Leippold, Markus; Wu, L (2002). Asset Pricing under the Quadratic Class. Journal of Financial and Quantitative Analysis, 37(2):271-295.

Leippold, Markus; Trojani, Fabio; Vanini, Paolo (2002). Optimization of Assets and Liabilities, Proceeding of International Scientific School. In: Leippold, Markus. Modelling and Analysis of Safety, Risk and Quality in Complex Systems. Saint-Petersburg: Russian Foundation of Fundamental Research, n/a.

This list was generated on Fri May 25 17:07:40 2018 CEST.