Access Statistics for Markus Leippold

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities 0 0 0 428 0 0 3 1,775
A remark on Lin and Chang’s paper ‘Consistent modeling of S&P 500 and VIX derivatives 0 0 0 5 1 1 3 46
Are Ratings the Worst Form of Credit Assessment Apart from All the Others? 0 0 0 3 0 0 0 24
Asset Pricing Under The Quadratic Class 0 0 0 395 3 4 6 853
Collateral Smile 0 0 0 8 0 0 0 42
Design and Estimation of Quadratic Term Structure Models 0 0 0 480 3 3 5 1,311
Discrete-Time Option Pricing with Stochastic Liquidity 0 0 0 11 1 1 2 57
Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets 1 1 2 4 3 3 8 35
Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets 0 0 1 8 1 2 9 43
Learning and Asset Prices under Ambiguous Information 0 0 0 183 0 1 1 586
Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model 0 0 0 9 1 2 3 58
Strategic Technology Adoption and Hedging under Incomplete Markets 0 0 0 24 0 0 0 16
The Potential Approach to Bond and Currency Pricing 0 0 0 488 0 1 2 1,597
Time-Changed Lévy LIBOR Market Model: Pricing and Joint Estimation of the Cap Surface and Swaption Cube 0 0 1 20 0 0 2 15
What's Beneath the Surface? Option Pricing with Multifrequency Latent States 0 1 1 27 1 2 4 85
Total Working Papers 1 2 5 2,093 14 20 48 6,543
1 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A New Goodness-of-Fit Test for Event Forecasting and Its Application to Credit Defaults 0 0 1 27 0 0 1 105
A geometric approach to multiperiod mean variance optimization of assets and liabilities 0 0 0 113 0 1 1 467
A remark on Lin and Chang's paper ‘Consistent modeling of S&P 500 and VIX derivatives’ 0 0 0 6 0 0 5 69
A simple model of credit contagion 0 0 1 124 0 2 7 359
Are Ratings the Worst Form of Credit Assessment Except for All the Others? 0 0 0 12 1 1 6 52
Asset Pricing under the Quadratic Class 0 0 0 45 1 3 4 134
Collateral smile 0 0 0 4 1 3 4 29
Data snooping and the global accrual anomaly 0 0 0 12 1 1 1 68
Design and Estimation of Quadratic Term Structure Models 0 0 0 2 0 0 0 17
Discrete-time option pricing with stochastic liquidity 0 0 0 16 0 0 2 67
Economic benefit of powerful credit scoring 0 0 1 170 0 0 4 418
Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models 0 0 1 212 3 3 4 680
Equilibrium Implications of Delegated Asset Management under Benchmarking 0 0 0 3 0 0 0 27
Equilibrium impact of value-at-risk regulation 0 0 1 56 0 0 3 197
How Rational and Competitive Is the Market for Mutual Funds?* 0 0 1 13 0 0 1 40
Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets 0 0 1 20 1 2 11 113
International price and earnings momentum 0 0 3 38 1 1 4 107
Learning and Asset Prices Under Ambiguous Information 0 0 1 84 0 0 3 220
Maximum diversification strategies along commodity risk factors 0 0 0 10 3 3 3 42
Multiperiod mean-variance efficient portfolios with endogenous liabilities 0 0 0 1 0 0 1 13
Optimal credit limit management under different information regimes 1 1 1 85 1 2 2 288
Particle filtering, learning, and smoothing for mixed-frequency state-space models 0 0 0 7 0 0 2 26
Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model 0 0 0 6 0 0 1 40
Short-run risk, business cycle, and the value premium 0 0 0 5 0 1 5 32
Statistics, Econometrics and Forecasting. Arnold Zellner 0 0 0 23 1 1 2 70
Strategic technology adoption and hedging under incomplete markets 0 0 0 14 0 1 4 52
The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments 0 0 3 52 1 1 7 175
The Valuation of American Options with Stochastic Stopping Time Constraints 0 0 0 25 0 0 3 106
The dispersion effect in international stock returns 0 0 0 5 1 1 3 40
The mixed vs the integrated approach to style investing: Much ado about nothing? 0 0 0 8 1 1 2 30
Time-changed Lévy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube 0 0 0 37 1 2 3 143
Trend derivatives: Pricing, hedging, and application to executive stock options 0 0 0 2 0 0 1 8
What is beneath the surface? Option pricing with multifrequency latent states 0 0 1 10 1 1 4 92
Total Journal Articles 1 1 16 1,247 19 31 104 4,326
1 registered items for which data could not be found
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