Financial Engineering: Selected Works Of Alexander Lipton

Financial Engineering: Selected Works Of Alexander Lipton

by Alexander Lipton


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leading academic and practitioner-oriented journals, this volume contains a detailed introduction and two previously unpublished chapters.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

Product Details

ISBN-13: 9789813209152
Publisher: World Scientific Publishing Company, Incorporated
Publication date: 07/30/2018
Pages: 632
Product dimensions: 6.69(w) x 9.61(h) x 1.38(d)

Table of Contents

Foreword vii

Preface ix

Acknowledgements xv

Part I Exotic Options 1

Chapter 1 Introduction 3

Chapter 2 Passport to Success 9

Chapter 3 Similarities via Self-similarities 23

Chapter 4 Predictability and Unpredictability in Financial Markets 39

Chapter 5 Universal Barriers 67

Chapter 6 Pricing of Vanilla and First-generation Exotic Options in the Local Stochastic Volatility Framework: Survey and New Results 81

Part II Volatility Smile 105

Chapter 7 Introduction 107

Chapter 8 Black-Scholes Goes Hypergeometric 119

Chapter 9 The Reduction Method for Valuing Derivative Securities 135

Chapter 10 The Vol Smile Problem 185

Chapter 11 Assets with Jumps 201

Chapter 12 Stochastic Volatility Models and Kelvin Waves 217

Chapter 13 Filling the Gaps 255

Chapter 14 Asymptotics for Exponential Levy Processes and their Volatility Smile: Survey and New Results 273

Chapter 15 Oscillating Bachelier and Black-Scholes Formulas 371

Part III Credit Risk 395

Chapter 16 Introduction 397

Chapter 17 Dynamic Credit Models 409

Chapter 18 Credit Value Adjustment for Credit Default Swaps Via the Structural Default Model 427

Chapter 19 Credit Default Swaps with and without Counterparty and Collateral Adjustments 451

Chapter 20 Pricing Credit Default Swaps with Bilateral Value Adjustments 473

Part IV Money and Markets 491

Chapter 21 Introduction 493

Chapter 22 Trading Strategies via Book Imbalance 503

Chapter 23 Modern Monetary Circuit Theory, Stability of Interconnected Banking Network, and Balance Sheet Optimization for Individual Banks 519

Chapter 24 Structural Default Model with Mutual Obligations 577

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