About this item
Edited by Alexander Lipton (Quant of the Year, 2000), this volume is a collection of Lipton's important and original papers on financial engineering 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in leading academic and practitioner-oriented journals, this volume contains a detailed introduction and two previously unpublished chapters.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.
Number of Pages: Xxi, 608 pages ;
Genre: Business + Money Management, Mathematics
Sub-Genre: Investments + Securities, Finance, Applied
Publisher: World Scientific Pub Co Inc
Book theme: Financial Engineering, General
Author: Alexander Lipton
Street Date: May 30, 2018
Item Number (DPCI): 248-73-1723
If the item details above aren’t accurate or complete, we want to know about it. Report incorrect product info.