SFI Faculty Member (since October 2006)
University of Zurich
+41 44 634 50 69
Markus Leippold holds the Vontobel Chair of Financial Engineering at the University of Zurich and has been an SFI faculty member since October 2006. During his professorship term at Imperial College London, he was the director of the Center of Quantitative Finance. Throughout his career, Prof. Leippold has been involved in numerous projects with the Swiss banking industry. He is a founding partner of Lambda Capital, providing consultancy services in risk management, portfolio management, and asset pricing.
His main research interests lie in asset management, risk management, derivative pricing, and volatility modeling.
One of Prof. Leippold’s recent co-authored studies analyzes the impact of funding costs and margin
requirements on the price of options traded on the Chicago Board Operations Exchange (CBOE). Funding costs (i.e. the spread between the borrowing and lending rates that investors face) and the recent increase in the amount of collateral option sellers are required to deposit have both had a positive, substantial and significant effect on increasing the price of options. These increases in option prices further translate into a skew and smile pattern for implied volatility curves.