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Financial Engineering: Selected Works of Alexander Lipton
Hardcover
Investing & FinanceGeneral Mathematics
ISBN13: 9789813209152
Publisher: World Scientific Publishing Company
Published: Jul 30 2018
Pages: 632
Weight: 2.64
Height: 1.38 Width: 6.69 Depth: 9.61
Language: English
Edited by Alexander Lipton (Quant of the Year, 2000), this volume is a collection of Lipton's important and original papers on financial engineering written over his 20-year career as a preeminent quant working for leading financial institutions in New York, Chicago, and London. The papers cover topics ranging from the volatility smile problem, credit risk, macroeconomics and monetary circuit, and exotic options, summarizing Lipton's fundamental contributions to these areas.
In addition to papers published in leading academic and practitioner-oriented journals, this volume contains a detailed introduction and two previously unpublished chapters. Some of the seminal papers in this book cover local-stochastic volatility models, passport options, credit value adjustments for credit default swaps, and asymptotics for exponential Lévy processes and their volatility smile.
Alexander Lipton is one of the most respected quants of his generation and the first recipient of the prestigious Quant of the Year award by Risk Magazine.
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