Dietmar Leisen
Dietmar Leisen
Professor of Banking, University of Mainz
Adresse e-mail validée de uni-mainz.de
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Binomial models for option valuation-examining and improving convergence
DPJ Leisen, M Reimer
Applied Mathematical Finance 3 (4), 319-346, 1996
2311996
Pricing the American put option: A detailed convergence analysis for binomial models
DPJ Leisen
Journal of Economic Dynamics and Control 22 (8-9), 1419-1444, 1998
1081998
Building a consistent pricing model from observed option prices
JP Laurent, DPJ Leisen
Quantitative Analysis In Financial Markets: Collected Papers of the New York …, 2001
412001
Aggregation of Preferences for Skewed Asset Returns
F Chabi-Yo, DPJ Leisen, E Renault
Journal of Economic Theory 154, 453-489, 2014
39*2014
Stock evolution under stochastic volatility: A discrete approach
DPJ Leisen
The Journal of Derivatives 8 (2), 9-27, 2000
382000
The random-time binomial model
DPJ Leisen
Journal of Economic Dynamics and Control 23 (9-10), 1355-1386, 1999
371999
Systemic risk in a structural model of bank default linkages
Y Kreis, D Leisen
to appear: Journal of Financial Stability, 2018
302018
Valuation of barrier options in a Black–Scholes setup with jump risk
DPJ Leisen
Review of Finance (European Finance Review) 3 (3), 319-342, 1999
191999
Staged venture capital contracting with ratchets and liquidation rights
DPJ Leisen
Review of Financial Economics 21 (1), 21-30, 2012
162012
Dynamic Risk Taking with Bonus Schemes
D Leisen
Quantitative Finance 15 (9), 1583-1596, 2015
15*2015
Equilibrium open interest
KL Judd, DPJ Leisen
Journal of Economic Dynamics and Control 34 (12), 2578-2600, 2010
152010
The shape of small sample biases in pricing kernel estimations
DPJ Leisen
Quantitative Finance 17 (6), 943-958, 2017
12*2017
Does Bonus Deferral Reduce Risk Taking?
D Leisen
Journal of Risk 18 (2), 95-117, 2015
122015
A perturbation approach to continuous-time portfolio selection
D Leisen
Available at SSRN 2331434, 2016
62016
Valuing common and preferred shares in venture capital financing
D Leisen
The Oxford Handbook of Venture Capital, 423, 2012
42012
Mixed lognormal distributions for derivatives pricing and risk-management
DPJ Leisen
Computing in Economics and Finance 48, 2004, 2004
4*2004
A partial equilibrium model of option markets
D Leisen, KL Judd
EFA, 2000
42000
When the remedy is the problem: Independent boards, short-termism, and the subprime crisis
D Leisen, PL Swan
31st Australasian Finance and Banking Conference, 2018
22018
Contract and Asset Values in Venture Capital Financings
D Leisen
Available at SSRN 1359208, 2009
22009
A comment on the Rate of Convergence of Discrete-Time Contingent Claims
D Leisen, M Reimer
Preprint, Stanford University, Hoover Institution, 2000
22000
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