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Contributions published at Financial Engineering (Markus Leippold)
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Markus Leippold, Drawdown, In: Encylopedia of Alternative Investments, Chapman & Hall, Boca Raton, p. 153 - 154, 2008. (Book Chapter) |
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Markus Leippold, Value at Risk, In: Encylopedia of Alternative Investments, Chapman & Hall, Boca Raton, p. 499 - 501, 2008. (Book Chapter) |
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Markus Leippold, Manager Skills, In: Encylopedia of Alternative Investments, Chapman & Hall, Boca Raton, p. 284 - 285, 2008. (Book Chapter) |
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Markus Leippold, Paolo Vanini, Fabio Trojani, Learning and Asset Pricing under Uncertainty, Review of Financial Studies, Vol. 21 (6), 2008. (Journal Article) |
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Harald Lohre, Rationalizing global market anomalies, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2007. (Dissertation) |
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Daniel Egloff, Markus Leippold, Paolo Vanini, A simple model of credit contagion, Journal of Banking and Finance, Vol. 31 (8), 2007. (Journal Article) |
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Jürg Syz, Markus Leippold, Trend derivatives: pricing, hedging, and application to executive stock options, Journal of Futures Markets, Vol. 27 (2), 2007. (Journal Article) |
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Georg Pristas, Limit order book dynamics and asset liquidity, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2007. (Dissertation) |
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Markus Leippold, Modeling business dependencies for credit portfolios, In: Quantitative Financial Risk Management : Fundamentals, Models and Techniques, [s.n.], London, p. online, 2007. (Book Chapter) |
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Markus Leippold, Liuren Wu, Multi-currency quadratic model: theory and evidence, Review of Finance, Vol. 9, 2007. (Journal Article) |
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Markus Leippold, Liuren Wu, Design and estimation of multi-currency quadratic models, Review of Finance, Vol. 11 (2), 2007. (Journal Article) |
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Felix Morger, International Asset Allocationand Hidden Regime Switching, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2006. (Dissertation) |
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Markus Leippold, L Wu, Daniel Egloff, Optimal Investments in Variance Swap Constracts under Stochastic Volatility, In: NCCR, 2006. (Working Paper) |
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Markus Leippold, Business Dependencies in Credit Risk Portfolios, In: Risk Management, London, 2006. (Book Chapter) |
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Markus Leippold, Felix Morger, International Stock Portfolios and Optimal Currency Hedging with Regime Switching, In: Asset Allocation and International Investments, London, 2006. (Book Chapter) |
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Markus Leippold, Stephan Jöhri, Quantitative Hedge Fund Selection for Fund of Funds, In: Fund of Hedge Funds: Performance, Assessment, Diversication and Statistical Properties, London, 2006. (Book Chapter) |
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Paolo Vanini, Fabio Trojani, Markus Leippold, Equilibrium impact of value-at-risk regulation, Journal of Economic Dynamics and Control, Vol. 30, 2006. (Journal Article) |
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Andreas Blöchlinger, Markus Leippold, The economic benefit of powerful credit scoring, Journal of Banking and Finance, Vol. 30, 2006. (Journal Article) |
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Paolo Vanini, Silvan Ebnoether, Markus Leippold, Optimal credit limit management under different information regimes, Journal of Banking and Finance, Vol. 30, 2006. (Journal Article) |
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Markus Leippold, Jürg Syz, The Trend is Your Friend: Absence of Pin Risk in Trend Options and Time Diversification, In: SSRN, No. 796070, 2005. (Working Paper) |