FINANCIAL ENGINEERING: SELECTED WORKS OF ALEXANDER LIPTON by Alexander Lipton
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in leading academic and practitioner-oriented journals, this volume contains a detailed introduction and two previously unpublished chapters.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.
Alexander Lipton is a Managing Director and Co-Head of the Global Quantitative Group at Bank of America Merrill Lynch, and Visiting Professor of Mathematics at Imperial College. Prior to his current role, he was Managing Director and Head of Capital Structure Quantitative Research at Citadel
Investment Group in Chicago. He has also worked at Credit Suisse, Deutsche Bank, and Bankers Trust. Previously, he was a Full Professor of Mathematics at the University of Illinois, Chicago, and Consultant at Los Alamos National Laboratory. He is the patron of the 14-10 Club at the Royal
Institution. He received his undergraduate and graduate degrees from Moscow State University. Professor Lipton is author of two books and editor of four. He has published numerous research papers on hydrodynamics, magnetohydrodynamics, astrophysics, and financial engineering. He has delivered many
invited lectures at leading universities and major conferences worldwide. Andrew Rennie has spent nineteen years in finance, specialising in derivatives pricing and risk management. He has worked at UBS, Rabobank International, and Merrill Lynch, where he managed all quantitative and modelling activity in derivatives across fixed income, credit, foreign exchange,
commodities, and equities globally. He retired from Merrill Lynch in 2009 to advise on pricing and risk issues to governments, regulators, banks, and hedge funds. He graduated with a First in Mathematics from Cambridge University and published papers in Mathematical Chemistry on the properties of
one-dimensional inclusion compounds. He co-authored a textbook on derivative pricing- Financial Calculus- and has also co-edited Credit Correlation - Life after Copulas.
| SKU | Unavailable |
| ISBN 13 | 9789813209152 |
| ISBN 10 | 9813209151 |
| Title | FINANCIAL ENGINEERING: SELECTED WORKS OF ALEXANDER LIPTON |
| Author | Alexander Lipton |
| Condition | Unavailable |
| Binding Type | Hardback |
| Publisher | World Scientific Publishing Co Pte Ltd |
| Year published | 2018-07-30 |
| Number of pages | 632 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | Unavailable |