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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


26.03.2015
SFI Outstanding Paper Award Lecture with Prof. Ralph Koijen
in Geneva

31.03.2015
SFI Panel-Diskussion "Anlagenotstand? Nicht mit uns", Zürich

31.03.2015
SFI Lunch & Learn Informationsveranstaltung, Zürich

15.04.2015
SFI Evening Seminar with Prof. Martin Weber, Zurich
Topic: How Much to Invest into Risk?

More events


Press releases

30.01.2015
Swiss Finance Institute Appoints a Chief Financial Officer

30.01.2015
Swiss Finance Institute appoints a new Head of Research

More press releases...


SFI in the news

Schweizer Bank: «NextGen» Private Banking
Prof. Cocca on new Technologies in Private Banking (01.03.2015)

CESifo: Die Dosis macht das Gift
Prof. Efing and Prof. Hau on the effect of bonus payments on the profitability and risk of banks (12.02.2015)

Le Temps: Banque nationale suisse: la grande désillusion
Prof. Bacchetta on the waiver of EUR/CHF rate support (20.01.2015)

Der Bund: Wolken sind schlecht für den Aktienkurs
Insights into research at the Institute for Financial Management (08.11.2014)


More press coverage...



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