In 1996, documentary filmmaker Adam Curtis created the film 25 Million Pounds which someone was kind enough to recently post on Youtube in six, ten minute clips. The film was created shortly after the Barings collapse and has a lot of interview time w/Leeson and those who knew him. Definetly worth a watch and shows some vintage LIFFE and SIMEX footage.
Part 2
http://www.youtube.com/watch?v=hxIfTcbnO54
Part 3
http://www.youtube.com/watch?v=9V-MqyxQ14Q
Part 4
http://www.youtube.com/watch?v=lmskwOn7hWQ
Part 5
http://www.youtube.com/watch?v=xwFX-lmEgJM
Part 6
http://www.youtube.com/watch?v=fb2vs8rkp_Q