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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. His main research interests lie in derivative pricing and volatility modeling.
One of Prof. Leippold’s recent studies proposes a new technique for measuring high-frequency volatility in foreign exchange markets. As traders submit thousands of buy and sell orders every second, they create disturbances that render estimates of price volatility inaccurate. The ability of this new technique in eliminating these disturbances and its forecasting performance are tested over four major currency pairs.
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.