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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.


Event


01.06.2015
SFI Public Lecture with Nobel Prize Winner Prof. Thomas J. Sargent, Zurich
Topic: The US then, Europe now

04.06.2015
SFI Lunch & Learn Informationsveranstaltung, Zürich  

10.06.2015
SFI - SRA Event with David Cole, Zurich
Topic: Risk Culture. A Continuing Journey.

25.06.2015
SFI - ETH Lunch Seminar with Prof. Andrew W. Lo, Zurich
Topic: Evolutionary Foundations of Economic Behavior, Bounded Rationality, and Intelligence

25.06.2015
SFI Evening Seminar with Prof. Andrew W. Lo, Zurich
Topic: Can Financial Engineering Cure Cancer? New Approaches to Funding Biomedical Innovation.

More events


Press releases

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

NZZ: "Hohe Risiken einer grossen SNB-Bilanz"
Agefi: "Les taux négatifs aident à affaiblir le franc"
Articles about Jean-Pierre Danthine's speech on "Swiss monetary policy facts... and fiction" at the SFI Evening Seminar (20.05.2015)


Privat: "Und wenn sich Herr Draghi irrt?"
Article by SFI Adjunct Prof. Erwin Heri on the European Central Bank expansionist monetary policy (16.05.2015)


Finanz und Wirtschaft: "Digitales Swiss Banking"
Article by SFI Adjunct Prof. Teodoro Cocca on social media and Fintech and whether they will revolutionize banking (29.04.2015)


NZZ: "Dominante Rolle von CS, UBS und ZKB"
Article on SFI Prof. Semyon Malamud's white paper on "The Future of Investment Banking"  (17.04.2015)





More press coverage...


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