Financial Engineering : Selected Works of Alexander Lipton

Preface -- Exotic options -- Passport to success / Hyer, Lipton, Pugachevsky -- Similarities via self-similarities / Lipton -- Predictability and unpredictability in financial markets / Lipton -- Universal barriers / Lipton, McGhee -- Pricing of vanilla and first generation exotic options / Lipton, Gal, Lasis -- Volatility smile -- Black-scholes goes hypergeometric / Albanese, Campolieti, Carr, Lipton -- The reduction method for valuing derivative securities / Carr, Lipton, Madan -- Assets with jumps / Lipton -- The vol smile problem / Lipton -- Stochastic volatility models and Kelvin waves / Lipton, Sepp -- Filling the gaps / Lipton, Sepp -- Asymtotics for exponential levy processes and their volatility smile / Andersen, Lipton -- Piecewise constant bachelier and black scholes equations / Lipton -- Credit risk -- Dynamic credit models / Inglis, Lipton, Savescu, Sepp -- Credit value adjustment for credit default swaps / Lipton, Sepp -- Credit default swaps with and without counterparty and collateral adjustments / Lipton, Shelton -- Pricing credit default swaps with bilateral value adjustments / Lipton, Savescu -- Money and markets -- Trading strategies via book imbalance / Lipton, Pesavento, Sotiropoulos -- Structural default model with mutual obligations / Itkin, Lipton -- Modern monetary circuit theory / Lipton

• | Author: Alexander Lipton
• | Publisher: World Scientific Publishing Company
• | Publication Date: Jul 30, 2018
• | Number of Pages: 608 pages
• | Language: English
• | Binding: Hardcover
• | ISBN-10: 9813209151
• | ISBN-13: 9789813209152