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Prof.
Markus Leippold
SFI Faculty Member (since October 2006)
University of Zurich

Markus.Leippold@sfi-research.ch
+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.

Research Interests
His main research interests lie in asset management, risk management, derivative pricing, and volatility modeling.

Recent Research
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.


Events

26.08.2015
SFI Lunch & Learn Informationsveranstaltung, Zürich  

27.08.2015
SFI Frühstück Seminar mit Dr. Hans-Joachim Jaeger, Zürich
Thema: AIA, Zahlstellensteuer, FATCA: Big Picture Dynamik der verschiedenen Initiativen und Auswirkungen auf die Geschäftsmodelle von Banken.

24.9.2015
SFI Evening Seminar with Elizabeth Corley
Topic: Risk and Uncertainty in Asset Management


More events


Press releases

19.06.2015

Swiss Finance Institute publishes the first comprehensive Swiss study on structured products. The most recent SFI White Paper sheds light on the performance, costs, and investments of structured products.
English version, German version, French version, Italian version

20.04.2015

Swiss Finance Institute and zeb.rolfes.schierenbeck.associates launch the first Swiss Asset Management Survey.
Pressemitteilung
Press Release


15.04.2015

Swiss Finance Institute publishes its second White Paper on "Will investment banking survive? Regulatory changes and technological advances are altering the investment banking landscape" written by SFI Prof. Semyon Malamud.
English version, German version, French version, Italian version

More press releases...


SFI in the news

Finanz und Wirtschaft: Barriere-Zertifikate langfristig oder punktuell
Article referring to the SFI White Paper - Structured Products: Performance, Costs, and Investments (18.07.2015)


Articles referring to the most recent SFI White Paper—Structured Products: Performance, Costs, and Investments.
NZZ: Performance-Studie zeichnet positives Bild
Finanz und Wirtschaft: Der faire Preis von strukturierten Produkten.
L'Agefi: La performance et les coûts démystifiés
Le Temps: Bonne performance des produits structurés depuis la crise, coûts "raisonnables"
Schweizer Bank: Licht im Dunkel der Gebühren
(June to July 2015)

L'Agefi: La solution privée plutôt que publique
Interview with Jean-Pierre Danthine (25.06.2015)

Les Echos: "Le franc fort, nouveau fardeau de l'économie suisse"
Article about the Swiss monetary policy and Jean-Pierre Danthine's speech at the SFI Evening seminar (01.06.2015)







More press coverage...


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