Screen LibraryFinancial engineering : selected works of Alexander Lipton /
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| Main Authors: | |
|---|---|
| Published: |
World Scientific Publishing Co.Pte. Ltd.,
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| Publisher Address: | Singapore : |
| Publication Dates: | [2018] |
| Literature type: | Book |
| Language: | English |
| Subjects: | |
| Carrier Form: | xxi, 608 pages : illustrations, forms ; 25 cm |
| Bibliography: | Includes bibliographical references. |
| ISBN: |
9789813209152 (hardback) : 9813209151 (hardback) |
| Index Number: | HG176 |
| CLC: | F830 |
| Call Number: | F830/L767-3 |
| Contents: | 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 in the Local Stochastic Violatility Framework: survey and new results / Lipton, Gal, Lasis -- Volatility smile -- Black-scholes goes hypergeometric / Albanese, Campolieti, Carr, Lipton -- The reduction method for valuing derivative securities / Carr, Lipton, Madan -- The vol smile problem / Lipton -- Assets with jumps / 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 -- Oscillating bachelier and Black-Scholes formulas / Lipton -- Credit risk -- Dynamic credit models / Inglis, Lipton, Savescu, Sepp -- Credit value adjustment for credit default swaps via the structural default model / 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 -- Modern monetary circuit theory, stability of interconnected banking network, and balance sheet optimization for individual banks / Lipton -- Structural default model with mutual obligations / Itkin, Lipton |