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Contributions published at Financial Engineering (Markus Leippold)

Contribution
Markus Leippold, Jun Cheng, Meriton Ibraimi, Jin E Zhang, A remark on Lin's and Chang's pager 'Consistent modelling of S&P500 and VIX derivatives', Journal of Economic Dynamics and Control, Vol. 36 (5), 2012. (Journal Article) Lin and Chang (2009, 2010) establish a VIX futures and option pricing theory when modeling S&P 500 index by using a stochastic volatility process with asset return and volatility jumps. In this note, we prove that Lin and Chang's formula is not an exact solution of their pricing equation. More generally, we show that the characteristic function of their pricing equation cannot be exponentially affine, as proposed by them. Furthermore, their formula cannot serve as a reasonable approximation. Using the Heston (1993) model as a special case, we demonstrate that Lin and Chang formula misprices VIX futures and options in general and the error can become substantially large.
Ueli Hofstetter, Fast Fourier Transform (FFT) Mehtods in Option Pricing, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Master's Thesis) null
Ueli Hofstetter, FAST FOURIER TRANSFORM (FFT) METHODS IN OPTION PRICING , University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Master's Thesis) null
Valentin Rüegg, Diskontieren von Cash Flows mit zeitabhängigen erwarteten Renditen. Eine empirische Untersuchung des Schweizer Aktienmarktes., University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Bachelor's Thesis) null
Adrian Gisler, Integration of the Brazilian stock market, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Bachelor's Thesis) null
Jovan Stojkovic, Correlation Processes: Application to Default Intensity Models, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Master's Thesis) null
Alain Moënnat, Capital Structure Arbitrage, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Master's Thesis) null
Fabian Karl, Is the value premium in influenced by investor sentiment? - An empirical investigation for the German market., University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Bachelor's Thesis) null
Michael Stadelmann, On the Determination of the Fair Price of Contingent Convertible Bonds, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Bachelor's Thesis) null
Fabian Karl, Is the value premium in influenced by investor sentiment? - An empirical investigation for the German market, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Bachelor's Thesis) null
Andreas Oberlin, Affine models of the commodity term structure, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Bachelor's Thesis) null
Alexander Neustaedter, Socially Responsible Investing and Profitability in Emerging Markets: An Empirical Analysis, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Bachelor's Thesis) null
Irina Krumova, Corporate Bond Yield Spreads: Cash-Flow Volatility vs. Internal Liquidity Risk Approach, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Bachelor's Thesis) null
Julia Buge, The Predictive Ability of Implied Volatility in Crude Oil Options: A Business Cycle Perspective, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Master's Thesis) null
Markus Leippold, Andreas Bloechlinger, A new goodness of fit test for event forecasting and its application to credit default, Management Science, Vol. 57 (3), 2011. (Journal Article) We develop a new goodness-of-fit test for validating the performance of probability forecasts. Our test statistic is particularly powerful under sparseness and dependence in the observed data. To build our test statistic, we start from a formal definition of calibrated forecasts, which we operationalize by introducing two components. The first component tests the level of the estimated probabilities. The second component validates the shape, measuring the differentiation between high and low robability events. After constructing test statistics for both level and shape, we provide a global goodness-of-fit statistic, which is asymptotically x^2 distributed. In a simulation exercise, we find that our approach is correctly sized and more powerful than alternative statistics. In particular, our shape statistic is significantly more powerful than the Kolmogorov-Smirnov test. Under independence our global test has significantly greater power than the popular Hosmer and Lemeshow's x^2 test. Moreover, even under dependence our global test remains correctly sized and consistent. As a timely and important empirical application of our method, we study the validation of a forecasting model for credit default events.
Jan Wrampelmeyer, Ambiguity, illiquidity, and hedge funds: An analysis of recent developments and current research topics in post-crisis financial markets, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Dissertation)
Thomas Erdoesi, Dynamic Hedging of Swiss Stock Options during the Financial Crisis using GARCH: An Empirical Investigation, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Bachelor's Thesis) null
Markus Leippold, Institutionelle Investoren und Aktienrenditen: Der steigende Ein uss von Benchmarks auf Risikopramien, 2011. (Other Publication) null
Markus Leippold, CoCo Bonds als regulatorisches Kapital, 2011. (Other Publication) null
Markus Leippold, Philippe Rohner, Benchmark prägt Risikoprämie, 2011. (Other Publication) null

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