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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

26.11.2014
SFI Evening Seminar with Dr. Philipp Keller
Topic: The Regulatory Cold War: Financial Repression, Protectism and Possible Strategies for Switzerland
Place: Credit Suisse Forum, Rue de Lausanne 11-19, Geneva

03.12.2014
Lunch & Learn @ SFI
Informationsveranstaltung, Zurich

04. Dezember 2014
Evening Event with Dr. Andreas Dombret
Thema: Von der Währungsunion zur Bankenunion - Finanzintegration in Europa
Ort: Zürcher Kantonalbank, Josefstrasse 222, 8005 Zürich

More events


Press releases

08.05.2014
Swiss Finance Institute held, in partnership with McKinsey & Company and the Swiss Bankers Association, a half-day conference on: "Banking services for Swiss companies: needs, availability and trends".
English version / German version

09.04.2014
Swiss Finance Institute publishes its first White Paper, "The Extra Cost of Swiss Banking Regulation," by Professor Jean-Charles Rochet
English version / German version


17.03.2014
IAZI AG und Swiss Finance Institute lancieren CAS in Real Estate Finance

More press releases...


SFI in the news


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

Ticino Management: Il Nobel parla, il gestore ascolta

Article about EFA convention (14.10.2014)

Le Temps: Retour de la Tension
Article on Systemic Risk Analysis in banking, by E.Jondeau and M.Rockinger (05.10.2014)

L'Hebdo: Philippe Bacchetta pour succéder à Jean Pierre Danthine à la BNS
Article about candidates for succession at BNS' Direction (10.09.2014)


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