Prof. Dr. Leisen
Areas of Specialization
Mathematical Finance; Portfolio Management; Asset Pricing; Private Equity
Academic Appointments
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Since 04/2004 |
University of Mainz
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Mainz, Germany |
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12/2002-04/2004 |
Centre de Recherche Mathématique (CRM)
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Montréal, Québec |
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05/2002-04/2004 |
Centre Interuniversitaire de Recherche en Economie Quantitative (CIREQ/CRDE)
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Montréal, Québec |
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09/2000- 04/2004 |
McGill University
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Montréal, Québec |
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09/1998-08/2000 |
Stanford University, Hoover Institution,
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Stanford, California |
Education
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10/1995-09/1998 |
University of Bonn
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Bonn, Germany |
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08/1996-09/1997 |
Ecole des Hautes Etudes en Sciences Sociales (EHESS), and Centre de Recherche en Economie et Statistique (CREST)
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Paris, France |
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10/1992-10/1995 |
University of Bonn
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Bonn, Germany |
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10/1989-09/1992 |
University of Mainz
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Mainz, Germany |
Degrees
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09/1998 |
University of Bonn
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Bonn, Germany |
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10/1995 |
University of Bonn
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Bonn, Germany |
Courses Taught at the University of Mainz
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Graduate |
"Introduction to Banking" |
Fall 2004 |
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"Financial Markets Theory" |
Winter 2004 |
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"Investments" |
Winter 2004 & 2006 |
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"Risk Management in Banking" |
Winter 2005 & 2006 |
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"Venture Capital and Private Equity" |
Winter 2005 & Summer 2007 |
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Undergraduate |
"Finance" |
Summer 2004, 2006 & 2008 |
Courses Taught Elsewhere
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Ph.D. (at McGill) |
"Continuous-Time Finance" |
Fall 2001 & 2003 |
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MBA (at McGill) |
"Venture Capital" |
Fall 2002 & 2003 |
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B.Comm. (at McGill) |
"Entrepreneurial Finance" |
Fall 2002 & 2003 |
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"Advanced Options and Futures" |
Winter 2001 |
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M. Sc. (at McGill) |
"Advanced Probability Theory I" |
Fall 2001 |
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"Brownian Motion, Stochastic Calculus and Financial Applications" |
Winter 2001 |
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B. Sc. (at McGill) |
"Mathematical Finance" |
Fall 2002 & Winter 2004 |
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M. Finance (at U. Waterloo) |
"Finance 2" |
Fall 1999 |
Consulting Experience
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Summer 1999 |
The Boston Consulting Group
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Frankfurt, Germany |
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Publications
Refereed Articles
“Stock Evolution Under Stochastic Volatility: A Discrete Approach,” Journal of Derivatives 8 (2), pp. 9-27, 2000.
“Pricing Barrier Options in a Black-Scholes Model With Jump Risk,” European Finance Review 3, 319-342, 1999.
“The Random-Time Binomial Model,” Journal of Economic Dynamics and Control 23, 1355-1386, 1999.
“Pricing the American Put Option: A Detailed Convergence Analysis for Binomial Models,” Journal of Economic Dynamics and Control 22, 1426-1444, 1998.
“Binomial Models for Option Valuation - Examining and Improving Convergence,” with M. Reimer, Applied Mathematical Finance 3, 319-346, 1996.
Book Chapters
“Building a Consistent Pricing Model from Observed Option Prices,” with Jean-Paul Laurent, Quantitative Analysis in Financial Markets, Marco Avellaneda (ed.), World Scientific Publishing, pp. 216-238, 2001.
Working Papers
“Equilibrium Open Interest,” with Kenneth L. Judd (Stanford University).
“A Partial Equilibrium Model of Option Markets,” with Kenneth L. Judd (Stanford University).
“Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing,” with Eric Renault (University of North Carolina) and Fousseni Chabi-Yo (Bank of Canada)
“A Comment on the Rate of Convergence of Discrete-Time Contingent Claims,” with M. Reimer (DWS – Deutsche Bank).
“Stochastic Volatility Price Dynamics are Inconsistent with Equilibrium Option Trade.”
“Call Option Open Interest in an Economy with Nontradeable Risks and Parameter Uncertainty.”
“Mixed Lognormal Distributions for Option Pricing and Risk-Management.”
“Stochastic Volatility and the Aggregation of Preferences.”
Academic Presentations
Conference presentations at many major conferences, including North American Econometric Society, European Finance Association, Gerzensee Summer Symposium on Financial Markets, German Finance Association, RISK.
Seminar presentations at many Universities and Research Institutes, including Stanford, Federal Reserve Board, Sydney, Goldman Sachs, St. Gallen, Pompeu Fabra, Karlsruhe, Humboldt, Bonn.
Honors and Awards
Outstanding Referee Award 2006 Journal of Economic Dynamics and Control
Graduate student prize in Computational Economics, awarded by the Society for Computational Economics for the paper “The Random-Time Binomial Model,” Stanford, CA, 1997.
Postdoctoral Scholarship, German Academic Exchange Service (DAAD), 1998-2000.
Doctoral Scholarship within the European Doctoral Program for Quantitative Economics at the University of Bonn, German Science Foundation (DFG), 1995-1998.
ERASMUS Scholarship (European Commission), University of Rome (Italy), 1991-1992.
Referee Activity
American Economic Review; Management Science; Journal of Finance; Journal of Economic Dynamics and Control; Review of Finance; Journal of Futures Markets; Finance and Stochastics; Annals of Applied Probability; Journal of Computational and Applied Mathematics; Advances in Futures and Options Research; Mathematical Finance; Review of Derivatives Research; Quantitative Finance; Journal of Financial Research; Addison-Wesley; Social Sciences and Humanities Research Council of Canada
Visiting Positions
Visiting Fellow, Stanford University, Hoover Institution, September 1998 – August 2000 (two years), in February 2001 (one week), May 2002 (one month) and February 2003 (one month).
Visiting Professor, University of Technology Sydney, February & March 2002 (two months) and September – December 2007 (four months)
Visiting Professor , University of Waterloo, Fall 1999
Humboldt University (Berlin), May 1998 (one week)
Visiting Scholar, CREST (Center for Research in Economics and Statistics), Paris, Finance Department, October 1997 to August 1998 (multiple visits of three months total)