Journal Publications

ZORA Publication List

2010
- Egloff, Daniel; Leippold, Markus; Wu, Liuren (2010). The term structure of variance swap rates and optimal variance swap investments. Journal of Financial and Quantitative Analysis, 45(5):1279-1310.
- Leippold, Markus; Egloff, Daniel (2010). Quantile Estimation with Adaptive Importance Sampling. Annals of Statistics, 38(2):1244-1278.

2009
- Leippold, Markus; Egloff, Daniel (2009). American Options with Stochastic Stopping Time Constraints. Applied Mathematical Finance, 16(3):287-305.

2008
- Leippold, Markus; Vanini, Paolo; Trojani, Fabio (2008). Learning and Asset Pricing under Uncertainty. Review of Financial Studies, 21(6):2565-2597.

2007
- Egloff, Daniel; Leippold, Markus; Vanini, Paolo (2007). A simple model of credit contagion. Journal of Banking and Finance, 31(8):2475-2492.
- Syz, Jürg; Leippold, Markus (2007). Trend derivatives: pricing, hedging, and application to executive stock options. Journal of Futures Markets, 27(2):151-186.
- Leippold, Markus; Wu, Liuren (2007). Design and estimation of multi-currency quadratic models. Review of Finance, 11(2):167-207.

2006
- Vanini, Paolo; Ebnoether, Silvan; Leippold, Markus (2006). Optimal credit limit management under different information regimes. Journal of Banking and Finance, 30:463-487.
- Blöchlinger, Andreas; Leippold, Markus (2006). The economic benefit of powerful credit scoring. Journal of Banking and Finance, 30:851-873.
- Vanini, Paolo; Trojani, Fabio; Leippold, Markus (2006). Equilibrium impact of value-at-risk regulation. Journal of Economic Dynamics and Control, 30:1277-1313.

2005
- Leippold, Markus; Vanini, Paolo (2005). The Quantification of Operational Risk. Journal of Risk, 8(1):59-85.

2004
- Leippold, Markus; Wiener, Zvi (2004). Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models. Review of Derivatives Research, 7(3):213-239.
- Trojani, Fabio; Leippold, Markus; Vanini, Paolo (2004). A Geometric Approach to Multiperiod Mean-Variance Optimization of Assets and Liabilities. Journal of Economic Dynamics and Control, 28(6):1079-1113.
- Leippold, Markus; Wiener, Zvi (2004). Efficient Trinomial Trees for Short Rate Models. Review of Derivatives Research, 7:213-239.

2003
- Leippold, Markus; Wu, Liuren (2003). Design and Estimation of Quadratic Term Structure Models. European Finance Review, 7(1):47-73.

2002
- Leippold, Markus; Vanini, Paolo (2002). Half as many cheers - the multiplier reviewed. Wilmott Magazine, 2:104-107.
- Leippold, Markus; Wu, L (2002). Asset Pricing under the Quadratic Class. Journal of Financial and Quantitative Analysis, 37(2):271-295.

1999
- Leippold, Markus; Jovic, Dean (1999). Das Standardverfahren zur Eigenmittelunterlegung: Analyse der Wahlmöglichkeiten. Finanzmarkt und Portfolio Management, 13(3):260-290.