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~isPartOf:"Research paper series / Swiss Finance Institute"
~person:"Leippold, Markus"
~subject:"Option trading"
~subject:"Risk premium"
~subject:"Zinsstruktur"
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THREE-POINT VOLATILITY SMILE C...
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Collateral Smile
Leippold, Markus
;
Su, Lujing
-
2011
We analyze the impact of funding costs and margin requirements on prices of index
options
traded on the CBOE. We …
Persistent link: https://www.econbiz.de/10009375107
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2
Time-changed Lévy LIBOR market model for the joint estimation and pricing of caps and swaptions
Leippold, Markus
;
Stromberg, Jacob
-
2012
-
This version: May 18, 2012
We propose a novel time-changed L évy LIBOR market model for the joint pricing of caps and swaptions. The time changes are split into three components. The first component allows us to match the volatility term structure, the second generates stochastic volatility, and the third one...
Persistent link: https://www.econbiz.de/10009558358
Saved in:
3
Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
Bardgett, Chris
;
Gourier, Elise
;
Leippold, Markus
-
2013
This paper shows that the VIX market contains information on the variance of the S&P 500 returns, which is not already spanned by the S&P 500 market. We estimate a flexible affine model based on a joint time series of underlying indexes and option prices on both markets. We find that including...
Persistent link: https://www.econbiz.de/10010256394
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4
Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model
Leippold, Markus
;
Vasiljević, Nikola
-
2015
We analyze American put
options
in a hyper-exponential jump-diffusion model. Our contribution is threefold. Firstly, by … the American early exercise premium. Finally, using American-style
options
on S&P 100 index from 2007 until 2013, we …
Persistent link: https://www.econbiz.de/10011293508
Saved in:
5
Ask BERT: how regulatory disclosure of transition and physical climate risks affects the CDS term structure
Kölbel, Julian
;
Leippold, Markus
;
Rillaerts, Jordy
; …
-
2020
We use BERT, an AI-based algorithm for language understanding, to decipher regulatory climate-risk disclosures and measure their impact on the credit default swap (CDS) market. Risk disclosures can either increase or decrease credit spreads, depending on whether disclosure reveals new risks or...
Persistent link: https://www.econbiz.de/10012487823
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