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 14 1,789
A remark on Lin and Chang’s paper ‘Consistent modeling of S&P 500 and VIX derivatives 0 0 0 5 2 2 7 52
Are Ratings the Worst Form of Credit Assessment Apart from All the Others? 0 0 0 3 0 0 5 29
Asset Pricing Under The Quadratic Class 0 0 1 396 0 0 24 873
Collateral Smile 0 0 0 8 0 0 3 45
Design and Estimation of Quadratic Term Structure Models 0 0 0 480 4 5 19 1,327
Discrete-Time Option Pricing with Stochastic Liquidity 0 0 0 11 0 0 10 66
Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets 0 0 4 7 2 4 31 63
Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets 0 0 0 8 0 2 16 58
Learning and Asset Prices under Ambiguous Information 0 0 0 183 1 3 15 600
Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model 0 0 0 9 1 4 20 77
Strategic Technology Adoption and Hedging under Incomplete Markets 0 0 1 25 1 1 11 27
The Potential Approach to Bond and Currency Pricing 0 0 0 488 2 4 11 1,608
Time-Changed Lévy LIBOR Market Model: Pricing and Joint Estimation of the Cap Surface and Swaption Cube 0 0 0 20 0 1 12 27
What's Beneath the Surface? Option Pricing with Multifrequency Latent States 0 0 0 27 1 1 7 91
Total Working Papers 0 0 6 2,098 14 27 205 6,732
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 0 27 0 0 9 114
A geometric approach to multiperiod mean variance optimization of assets and liabilities 0 0 0 113 0 1 11 478
A remark on Lin and Chang's paper ‘Consistent modeling of S&P 500 and VIX derivatives’ 0 0 0 6 0 0 6 75
A simple model of credit contagion 0 0 1 125 1 1 13 370
Are Ratings the Worst Form of Credit Assessment Except for All the Others? 0 0 0 12 0 0 9 60
Asset Pricing under the Quadratic Class 0 1 1 46 1 3 14 146
Collateral smile 0 0 0 4 0 1 6 34
Data snooping and the global accrual anomaly 0 0 0 12 1 1 10 77
Design and Estimation of Quadratic Term Structure Models 0 0 0 2 1 1 7 24
Discrete-time option pricing with stochastic liquidity 1 1 1 17 2 2 13 80
Economic benefit of powerful credit scoring 0 0 1 171 0 0 13 431
Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models 0 0 0 212 0 1 12 689
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 0 56 0 0 9 206
How Rational and Competitive Is the Market for Mutual Funds?* 0 0 1 14 0 0 11 51
Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets 0 0 0 20 1 3 18 130
International price and earnings momentum 1 1 1 39 1 1 10 116
Learning and Asset Prices Under Ambiguous Information 0 0 1 85 0 1 17 237
Maximum diversification strategies along commodity risk factors 0 0 0 10 0 3 16 55
Multiperiod mean-variance efficient portfolios with endogenous liabilities 0 0 0 1 1 1 10 23
Optimal credit limit management under different information regimes 1 1 2 86 1 1 10 297
Particle filtering, learning, and smoothing for mixed-frequency state-space models 0 0 0 7 0 0 6 32
Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model 0 0 0 6 0 1 9 49
Short-run risk, business cycle, and the value premium 0 0 1 6 1 3 19 51
Statistics, Econometrics and Forecasting. Arnold Zellner 0 0 0 23 0 1 8 77
Strategic technology adoption and hedging under incomplete markets 0 0 1 15 0 1 8 59
The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments 1 2 3 55 5 9 20 194
The Valuation of American Options with Stochastic Stopping Time Constraints 0 0 0 25 0 1 4 110
The dispersion effect in international stock returns 0 0 0 5 0 0 10 49
The mixed vs the integrated approach to style investing: Much ado about nothing? 1 2 3 11 4 9 21 50
Time-changed Lévy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube 0 0 0 37 0 2 19 160
Trend derivatives: Pricing, hedging, and application to executive stock options 0 0 0 2 0 0 7 15
What is beneath the surface? Option pricing with multifrequency latent states 0 0 1 11 0 1 18 109
Total Journal Articles 5 8 18 1,264 20 49 373 4,675
1 registered items for which data could not be found
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Statistics updated 2026-09-10