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Financial Engineering: Selected Works Of Alexander Lipton
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Financial Engineering: Selected Works Of Alexander Lipton (Hardback)

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Synopsis

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in leading academic and practitioner-oriented journals, this volume contains a detailed introduction and two previously unpublished chapters.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 L vy 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.



BusinessFinance & accountingFinance Publisher: World Scientific Publishing Co Pte Ltd Publication Date: 30/07/2018 ISBN-13: 9789813209152  Details: Type: Hardback Format: Books
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