Forschungsschwerpunkte von Herrn Prof. Dr. Leisen sind

  • Bewertung von Derivaten
  • Risikomanagement
  • Finanzmarktgleichgewichte mit heterogenen Agenten
  • Innovative Finanzierungsmöglichkeiten

Publikationen von Prof. Dr. Leisen

Aufsätze in internationalen, referierten Zeitschriften

"Systemic Risk in a Structural Model of Bank Default Linkages," with Yvonne Kreis, to appear: Journal of Financial Stability.

"The Shape of Small Sample Biases in Pricing Kernel Estimations," Quantitative Finance 17(6), 943-958, 2017.

Does Bonus Deferral Change Risk Taking? ,” Journal of Risk 18(2), 95-117, 2015.

Aggregation of Preferences for Skewed Asset Returns,” with Fousseni Chabi-Yo and Eric Renault, Journal of Economic Theory 154, 453-489, 2014.

Dynamic Risk Taking with Bonus Schemes,” Quantitative Finance 15(9), 1583-1596, 2015.

Staged Venture Capital Contracting with Ratchets and Liquidation Rights,” Review of Financial Economics, 21(1), 21-30, 2012.

Equilibrium Open Interest,” with Kenneth L. Judd, Journal of Economic Dynamics and Control, 34(12), 2578-2600, 2010.

Stock Evolution Under Stochastic Volatility: A Discrete Approach,” Journal of Derivatives, 8 (2), 9-27, 2000.

Valuation of Barrier Options in a Black-Scholes Model With Jump Risk,” Review of Finance (formerly European Finance Review), 3, 319-342, 1999.

The Random-Time Binomial Model,” Journal of Economic Dynamics and Control, 23, pp. 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.

Beiträge in internationalen, referierten Sammelwerken

Valuing Common and Preferred Shares in Venture Capital Financings,” The Oxford Handbook on Venture Capital, Chapter 14, Douglas Cumming (ed.), Oxford University Press, 2012.

Incentive Contracting for Venture Capital Fund Managers,” American Institute of Physics Proceedings 1168, pp. 945-948, 2009.

Mixed Lognormal Distributions for Derivatives Pricing,” Proceedings of the Modelling, Simulation and Optimization Conference, Acta Press 471-058, 2005.

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.


"Investing for the Long Run," with Eckhard Platen (University of Technology Sydney), 2017.

A Perturbation Approach to Continuous-time Portfolio Selection,” 2016.

"Dynamic Asset Pricing with Aggregation of Preferences," with Fousseni Chabi-Yo (Ohio State University) and Eric Renault (Brown University), 2016.

“Heterogeneity in Risk Preferences leads to Stochastic Volatility,” 2016.

"The Operating Performance of LBO-backed IPOs," with Peter Seeburger (McKinsey), 2010.

Contract and Asset Values in Venture Capital Financings,” 2009.

Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing,” with Eric Renault (Brown University) and Fousseni Chabi-Yo (Ohio State University), Bank of Canada Working Paper 2007-47, 2007.

Stochastic Volatility Price Dynamics are Inconsistent with Equilibrium Option Trade,” 2002.

A Comment on the Rate of Convergence of Discrete-Time Contingent Claims,” with M. Reimer (Warburg), 2000.

A Partial Equilibrium Model of Option Markets,” with Kenneth L. Judd (Stanford University), 2000.