Profilbild

Prof. Dr. Markus Leippold - Supervised theses

Professor of Financial Engineering
Direktor Master of Advanced Studies UZH in Finance

@dloppiel.sukrambf.uzh.ch
PLM-H 310, Plattenstr. 14, 8032 Zürich
+41 44 634 50 69
CV vCard Details Team Teaching Publications Supervised theses Conferences

Dissertations (13)

Option Pricing and Market Risk Management in the Presence of Jump Risk
Nikola Vasiljevic
Supervisor(s): Markus Leippold
University of Zurich, 2016.


Three Essays on Market Frictions
Lujing Su
Supervisor(s): Markus Leippold, Alexandre Ziegler
University of Zurich, 2015.


Three Essays on Option Implied Information
Markus Ludwig
Supervisor(s): Markus Leippold
University of Zurich, 2015.


Essays on Arbitrage Pricing Theory and Systemic Risk Modeling
Meriton Ibraimi
Supervisor(s): Markus Leippold
University of Zurich, 2015.


Volatility and Correlation Modelling for Equity Indices
Chris Bardgett
Supervisor(s): Markus Leippold
University of Zurich, 2014.


Affine and quadratic models for volatility and interest rates markets
Elise Gourier
Supervisor(s): Markus Leippold, Josef Teichmann
University of Zurich, 2013.


Essays on Banking, Ratings, and Regulation
Basile Maire
Supervisor(s): Markus Leippold, Jean-Charles Rochet
University of Zurich, 2013.


Ambiguity, illiquidity, and hedge funds: An analysis of recent developments and current research topics in post-crisis financial markets
Jan Wrampelmeyer
Supervisor(s): Loriano Mancini, Markus Leippold, Fabio Trojani
University of Zurich, 2011.


Asset pricing implications of delegated portfolio management and benchmarking
Philippe Rohner
Supervisor(s): Markus Leippold
University of Zurich, 2009.


Rationalizing global market anomalies
Harald Lohre
Supervisor(s): Markus Leippold
University of Zurich, 2007.


Limit order book dynamics and asset liquidity
Georg Pristas
Supervisor(s): Markus Leippold
University of Zurich, 2007.


International Asset Allocationand Hidden Regime Switching
Felix Morger
Supervisor(s): Markus Leippold
University of Zurich, 2006.


Econometric advancements in market and credit risk modeling
Andreas Blöchlinger
Supervisor(s): Markus Leippold
University of Zurich, 2005.


Master Theses (53)

SUSTAINABLE INVESTMENTS: KRITISCHE BEURTEILUNG & QUANTITATIVE ANALYSE VON AKTIENBENCHMARKS
Sabina Pandurski
Supervisor(s): Alfredo Fusetti, Markus Leippold
University of Zurich, 2016.


Risk Compensation of Bank Shareholder
Raphael Huber
Supervisor(s): Hans Peter Wehrli, Markus Leippold
University of Zurich, 2016.


Option-implied asset allocation
Jan Tepina
Supervisor(s): Nikola Vasiljevic, Markus Leippold
University of Zurich, 2016.


Short-termism in the Swiss equity market
Moritz von Graffenried
Supervisor(s): Stephan Skaanes, Markus Leippold
University of Zurich, 2016.


The Value of Dividend Growth Models in the Swiss Stock Market
Anja Zgraggen
Supervisor(s): Benjamin Wilding, Markus Leippold
University of Zurich, 2016.


Ross’ Recovery Theorem and its Critics
Serge Birri
Supervisor(s): Felix Stang, Markus Leippold
University of Zurich, 2015.


Variance reduction through multilevel Monte Carlo simulation
Devin Heer
Supervisor(s): Nikola Vasiljevic, Markus Leippold
University of Zurich, 2015.


An Empirical Analysis of the Rebalancing Premium: Evidence from the Swiss Stock Market
Luca Lengwiler
Supervisor(s): Philippe Rohner, Markus Leippold
University of Zurich, 2015.


Asset allocation with higher moments for Swiss pension fund investors
David Deck
Supervisor(s): Nikola Vasiljevic, Markus Leippold
University of Zurich, 2015.


Higher Order CAPM and Asset Pricing Anomalies
Sven Bura
Supervisor(s): Nikola Vasiljevic, Markus Leippold
University of Zurich, 2015.


Numerical Methods for the Pricing of American and Exotic Options under Affine Jump-diffusions and Time Changed Lévy Processes
Yitian Yang
Supervisor(s): Nikola Vasiljevic, Markus Leippold
University of Zurich, 2015.


Market Risk in Private Equity Portfolios
Alfiya Shamisheva
Supervisor(s): Nikola Vasiljevic, Markus Leippold
University of Zurich, 2015.


The Value of Analyst Recommendations in the Swiss Stock Market
Tobias Bertschinger
Supervisor(s): Markus Leippold, Benjamin Wilding
University of Zurich, 2015.


Forecasting Volatility: Causality of Index and Constituents
Eleni Verteouri
Supervisor(s): Pascal Marco Caversaccio, Markus Leippold
University of Zurich, 2015.


Comparison of market code-books for S&P 500 options
Gianluca Marcoli
Supervisor(s): Markus Leippold, Nikola Vasiljevic
University of Zurich, 2015.


Scenario generation for risk management – implied volatility dynamics modeling
Thomas Weber
Supervisor(s): Markus Leippold, Chris Bardgett
University of Zurich, 2014.


Sequential Calibration of Option Pricing Models Using Nonlinear Filtering Methods
Tim Marahrens
Supervisor(s): Markus Leippold, Pascal Marco Caversaccio
University of Zurich, 2014.


Analysis of FX Hedging at Mutual Funds
Martin Overhoff
Supervisor(s): Markus Leippold, Pascal Marco Caversaccio
University of Zurich, 2014.


Performance Measurement of Exchange Traded Funds
Thomas Schär
Supervisor(s): Nikola Vasiljevic, Markus Leippold
University of Zurich, 2014.


Is the size of the liquidity premium for convertible bonds substantial?
Michael Stadelmann
Supervisor(s): Nikola Vasiljevic, Markus Leippold
University of Zurich, 2014.


Multi-asset option pricing with copulas
Wladimir Weinberger
Supervisor(s): Meriton Ibraimi, Markus Leippold
University of Zurich, 2014.


Can investors achieve significant returns in trading Foreign Exchange and Precious Metals Based on Technical Signals?
Daniel Laager
Supervisor(s): Nikola Vasiljevic, Markus Leippold
University of Zurich, 2014.


Pricing S & P 500 options under a Stochastic Local Volatility model
Sarah Jucker
Supervisor(s): Nikola Vasiljevic, Markus Leippold
University of Zurich, 2014.


Diversified Commodity Term Structure Allocations
Andreas Oberlin
Supervisor(s): Markus Leippold
University of Zurich, 2013.


Inflation Modelling: Risk Premia and Derivative Pricing
Warrick Poklewski-Koziell
Supervisor(s): Nikola Vasiljevic, Markus Leippold
University of Zurich, 2013.


A GARCH Option Pricing Model with Johnson-Su Innovations
Patrick Wyss
Supervisor(s): Nikola Vasiljevic, Markus Leippold
University of Zurich, 2013.


Signal Weighting Schemes in Portfolio Allocation: An Empirical Investigation
Luca Barlocchi
Supervisor(s): Felix Matthys, Markus Leippold
University of Zurich, 2013.


Application of Filtering Methods in Finance
Fatima Manaa
Supervisor(s): Elise Gourier, Markus Leippold
University of Zurich, 2013.


Price discovery in the International Monetary Market currency futures and the currency spot market
Patrick Quensel
Supervisor(s): Chris Bardgett, Markus Leippold
University of Zurich, 2013.


Alternative Risk Transfer of Life Risks - An Investment Opportunity for Swiss Pension Funds?
Thomas Eichenberger
Supervisor(s): Meriton Ibraimi, Markus Leippold
University of Zurich, 2013.


Pricing of Variable Annuities
Kevin Soobratty
Supervisor(s): Elise Gourier, Markus Leippold
University of Zurich, 2013.


Asset Allocation with Parametric Portfolio Weights: An empirical out-of-sample investigation
Benjamin Haltinner
Supervisor(s): Felix Matthys, Markus Leippold
University of Zurich, 2013.


Resampling in Asset Allocation
Philippe Stäheli
Supervisor(s): Felix Matthys, Markus Leippold
University of Zurich, 2013.


American Option Pricing using Filtering
Enqi Liang
Supervisor(s): Elise Gourier, Markus Leippold
University of Zurich, 2013.


Analysis of the performance of turbulence indicators in the prediction of financial crisis
Fabian Lutz
Supervisor(s): Elise Gourier, Markus Leippold
University of Zurich, 2013.


Optimal Portfolio Allocation Under Higher Moments in the Black-Litterman Framework
Andreas Vogel
Supervisor(s): Felix Matthys, Markus Leippold
University of Zurich, 2013.


Business Cycle Predictions: An Empirical Investigation of the Swiss Business Cycle
Giulia Fumagalli
Supervisor(s): Felix Matthys, Markus Leippold
University of Zurich, 2012.


On the Pricing of Contingent Convertible Bonds and Their Influence on Systemic Risk
Danzhu Shi
Supervisor(s): Felix Matthys, Markus Leippold
University of Zurich, 2012.


Extensions to Local Volatility Models
Dimitrij Nabatov
Supervisor(s): Chris Bardgett, Markus Leippold
University of Zurich, 2012.


Hybrid Options: Finite Elements for Local Volatility with Stochastic Interest Rates
Florian Müller-Reiter
Supervisor(s): Meriton Ibraimi, Markus Leippold
University of Zurich, 2012.


Sovereign credit risk with exotic contingent claims analysis
Jamil Bouallai
Supervisor(s): Meriton Ibraimi, Markus Leippold
University of Zurich, 2012.


Swiss Pension Funds' Liabilities Structure and Portfolio Risk: an Empirical Analysis
Luca Barenco
Supervisor(s): Markus Leippold
University of Zurich, 2012.


FAST FOURIER TRANSFORM (FFT) METHODS IN OPTION PRICING
Ueli Hofstetter
Supervisor(s): Chris Bardgett, Markus Leippold
University of Zurich, 2011.


Fast Fourier Transform (FFT) Mehtods in Option Pricing
Ueli Hofstetter
Supervisor(s): Markus Leippold
University of Zurich, 2011.


Capital Structure Arbitrage
Alain Moënnat
Supervisor(s): Felix Matthys, Markus Leippold
University of Zurich, 2011.


Correlation Processes: Application to Default Intensity Models
Jovan Stojkovic
Supervisor(s): Felix Matthys, Markus Leippold
University of Zurich, 2011.


The Predictive Ability of Implied Volatility in Crude Oil Options: A Business Cycle Perspective
Julia Buge
Supervisor(s): Felix Matthys, Markus Leippold
University of Zurich, 2011.


Credit Default Swap contracts and credit risk during the financial crisis
Matthias Schnare
Supervisor(s): Chris Bardgett, Markus Leippold
University of Zurich, 2010.


Leading Indicators of Past Financial Crises - Do they Apply to the Current Financial Crisis?
Michel Fellmann
Supervisor(s): Markus Leippold
University of Zurich, 2010.


Bachelor Theses (59)

The Performance of Open-End Funds in Emerging Asia
Tobias Schneider
Supervisor(s): Benjamin Wilding, Markus Leippold
University of Zurich, 2016.


PREDICTIVE POWER OF NEWSPAPER DATA OF STOCK MARKET PERFORMANCE IN SWITZERLAND
David Bursa
Supervisor(s): Benjamin Wilding, Markus Leippold
University of Zurich, 2016.


Momentum Strategies in the Swiss Stock Market
En Coc Lien
Supervisor(s): Nikola Vasiljevic, Markus Leippold
University of Zurich, 2015.


Technische Analyse der Finanzmärkte Sind Finanzmärkte in schwacher Form effizient? Überprüfung mittels technischer Analyse
Daniel Kostadinovic
Supervisor(s): Benjamin Wilding, Markus Leippold
University of Zurich, 2015.


Security Lending und Borrowing - Eine Analyse mit Fokus auf den Schweizer Finanzplatz
Marco Schnüriger
Supervisor(s): Benjamin Wilding, Markus Leippold
University of Zurich, 2015.


Numerical methods for the pricing of European options under stochastic volatility and jump-diffusion
Alexander Gretener
Supervisor(s): Felix Stang, Markus Leippold
University of Zurich, 2015.


Performance-Vergleich quantitativer Valle-Strategien am Schweizer Aktienmarkt
David Gugler
Supervisor(s): Benjamin Wilding, Markus Leippold
University of Zurich, 2015.


Turtle Trading System im Schweizer Aktienmarkt
Adrian Aeschbacher
Supervisor(s): Markus Leippold, Benjamin Wilding
University of Zurich, 2015.


Industry and Country E↵ects on Developed Market Stock Returns
Moritz Vontobel
Supervisor(s): Benjamin Wilding, Markus Leippold
University of Zurich, 2015.


Optimierung der Portfoliooptimierung - Empirische Analyse im Schweizer Aktienmarkt
Fabian Schaub
Supervisor(s): Benjamin Wilding, Markus Leippold
University of Zurich, 2015.


An Empirical Test of Low Risk Anomaly in China
Pascal Krattiger
Supervisor(s): Nikola Vasiljevic, Markus Leippold
University of Zurich, 2015.


Performancevergleich von nachhaltigen Anlagen
Michael Häberli
Supervisor(s): Markus Leippold, Benjamin Wilding
University of Zurich, 2015.


Aktienkursverhalten um den Auszahlungszeitpunkt von Dividenden
Elias Lipp
Supervisor(s): Benjamin Wilding, Markus Leippold
University of Zurich, 2015.


Technische Aktienanalyse im Performance-Vergleich
Flurin Caduff
Supervisor(s): Benjamin Wilding, Markus Leippold
University of Zurich, 2015.


Vergleich einer Covered-Call Strategie mit einer Buy-and-hold Strategie
Heiko Witt
Supervisor(s): Markus Leippold, Benjamin Wilding
University of Zurich, 2015.


Analysis of Swiss stocks paying high dividend yields. Which circumstances lead to an overperformance using dividend strategies?
Silvio Leoni
Supervisor(s): Markus Leippold, Felix Stang
University of Zurich, 2014.


The Added Value of Situational Fund Analysis
Vadim Sobolev
Supervisor(s): Pascal Marco Caversaccio, Markus Leippold
University of Zurich, 2014.


An Empirical Test of Different Factor Models on the Shanghai Stock Exchange
Tian Xia
Supervisor(s): Nikola Vasiljevic, Markus Leippold
University of Zurich, 2014.


Investigation of CDOs during the financial crisis
Alain Richter
Supervisor(s): Felix Stang, Markus Leippold
University of Zurich, 2014.


Die Relevanz von Kapitalmarktmodellen bei vermögenden Privatkun-den in der Schweiz
Janis M. Heibel
Supervisor(s): Benjamin Wilding, Markus Leippold
University of Zurich, 2014.


Portfolio - Optimierung mittels technischer Analyse im Schweizer Aktienmarkt
Erkin Yildirim
Supervisor(s): Benjamin Wilding, Markus Leippold
University of Zurich, 2014.


Quality Minus Junk in the Swiss Stock Market
Severin Fischer
Supervisor(s): Felix Stang, Markus Leippold
University of Zurich, 2014.


Einfluss des Konjunkturzyklus auf das Beta von Schweizer Aktien
Joris Klaus
Supervisor(s): Markus Leippold, Benjamin Wilding
University of Zurich, 2014.


Einfluss eines Verbots von Leerverkäufen auf die Markteffizienz
Raphael Huber
Supervisor(s): Markus Leippold, Benjamin Wilding
University of Zurich, 2014.


Performancevergleich von Exchange Traded Funds
Lianne Tanner
Supervisor(s): Markus Leippold, Benjamin Wilding
University of Zurich, 2014.


Risiken und Renditechancen von Renditeoptimierungsprodukten - Empirische Analyse von Multi-Asset Barrier Reverse Convertibles
Martin Glur
Supervisor(s): Markus Leippold, Benjamin Wilding
University of Zurich, 2014.


Auswirkungen der Dividendenpolitik auf die Aktienkursentwicklung
Feyyaz Aslan
Supervisor(s): Markus Leippold, Benjamin Wilding
University of Zurich, 2014.


A Comparison of Fund Returns in Different Currencies
Görkem Paslioglu
Supervisor(s): Meriton Ibraimi, Markus Leippold
University of Zurich, 2013.


The Volatility Effect in the Swiss Equity Market
Daniel Strickler
Supervisor(s): Nikola Vasiljevic, Markus Leippold
University of Zurich, 2013.


Copula-based Pairs Trading
Florian Sutter
Supervisor(s): Meriton Ibraimi, Markus Leippold
University of Zurich, 2013.


Gender diversity in management and corporate performance
Selma Bozalija
Supervisor(s): Meriton Ibraimi, Markus Leippold
University of Zurich, 2013.


The Influence of the Shareholder Constellation on the Stock Performance
Alexandra Egg
Supervisor(s): Nikola Vasiljevic, Markus Leippold
University of Zurich, 2013.


Gaps - Statistical Analysis of Gaps and Investigation of the Utility of Gap Fading from a Trading Perspective
Patrick Eugster
Supervisor(s): Meriton Ibraimi, Markus Leippold
University of Zurich, 2013.


The Low-Volatility Anomaly in Switzerland: An Empirical Analysis
Dominik Gottet
Supervisor(s): Benjamin Wilding, Markus Leippold
University of Zurich, 2013.


Leveraged Exchange Traded Funds
Dominik Studer
Supervisor(s): Markus Leippold
University of Zurich, 2013.


Performance of the Black-Litterman model compared to alternative portfolio construction methods. An empirical investigation
Florian Reeh
Supervisor(s): Felix Matthys, Markus Leippold
University of Zurich, 2012.


CPO Pricing with a Four Moment Capital Asset pricing model
Bekim Hotnjani
Supervisor(s): Meriton Ibraimi, Markus Leippold
University of Zurich, 2012.


Stylized Facts of the Realized and Implied Volatility of the S&P 500
Igor Avramovic
Supervisor(s): Markus Leippold
University of Zurich, 2012.


On the pricing of Contingent Convertible bonds: A comparison of pricing methodologies
Wen Denoth
Supervisor(s): Felix Matthys, Markus Leippold
University of Zurich, 2012.


On the pricing of Contingent Convertible bonds: A comparison of pricing methodologies
Hasan Karahan
Supervisor(s): Felix Matthys, Markus Leippold
University of Zurich, 2012.


Investor Sentiment and Future Returns: An Empirical Analysis of Option Volume on the S&P 500 and the VIX
Marco Henseler
Supervisor(s): Markus Leippold
University of Zurich, 2012.


The Pricing of Multivariate Barrier Options in a Lévy framework: A numerical pricing analysis
Raphael Lerner
Supervisor(s): Felix Matthys, Markus Leippold
University of Zurich, 2012.


An analysis of the VIX
Remo Grieb
Supervisor(s): Elise Gourier, Markus Leippold
University of Zurich, 2012.


Diskontieren von Cash Flows mit zeitabhängigen erwarteten Renditen. Eine empirische Untersuchung des Schweizer Aktienmarktes.
Valentin Rüegg
Supervisor(s): Felix Matthys, Markus Leippold
University of Zurich, 2011.


Integration of the Brazilian stock market
Adrian Gisler
Supervisor(s): Markus Leippold
University of Zurich, 2011.


Affine models of the commodity term structure
Andreas Oberlin
Supervisor(s): Meriton Ibraimi, Markus Leippold
University of Zurich, 2011.


Is the value premium in influenced by investor sentiment? - An empirical investigation for the German market
Fabian Karl
Supervisor(s): Felix Matthys, Markus Leippold
University of Zurich, 2011.


On the Determination of the Fair Price of Contingent Convertible Bonds
Michael Stadelmann
Supervisor(s): Felix Matthys, Markus Leippold
University of Zurich, 2011.


Is the value premium in influenced by investor sentiment? - An empirical investigation for the German market.
Fabian Karl
Supervisor(s): Markus Leippold
University of Zurich, 2011.


Socially Responsible Investing and Profitability in Emerging Markets: An Empirical Analysis
Alexander Neustaedter
Supervisor(s): Markus Leippold
University of Zurich, 2011.


Corporate Bond Yield Spreads: Cash-Flow Volatility vs. Internal Liquidity Risk Approach
Irina Krumova
Supervisor(s): Markus Leippold
University of Zurich, 2011.


Dynamic Hedging of Swiss Stock Options during the Financial Crisis using GARCH: An Empirical Investigation
Thomas Erdoesi
Supervisor(s): Felix Matthys, Markus Leippold
University of Zurich, 2011.


The Value of Roll-Return and Momentum Strategies in Commodity Futures
Dino Lüssi
Supervisor(s): Markus Leippold
University of Zurich, 2010.


Socially Responsible Investments: A Performance Analysis during the Financial Market Crisis of 2008
Benjamin Haltinner
Supervisor(s): Felix Matthys, Markus Leippold
University of Zurich, 2010.


The negative basis trade: How to measure the CDS basis adequately
Fabian Kunz
Supervisor(s): Chris Bardgett, Markus Leippold
University of Zurich, 2010.


Assessing implied correlations for FX options
Edgar Mathis
Supervisor(s): Markus Leippold
University of Zurich, 2010.


Einfluss von legalem Insider Trading auf die Entwicklung von Aktienkursen
Stefan Grossmann
Supervisor(s): Markus Leippold
University of Zurich, 2010.


Pairs Trading in Europe: Understanding the Dynamics of Profitability
Maarten Jan Manders
Supervisor(s): Markus Leippold
University of Zurich, 2010.