02205nam a22002297a 4500 56628 56628 20210802111057.0 200707b ||||| |||| 00| 0 eng d 9789813209152 Brijwasi Book Distributors ;;H-87,Lalita Park,Laxmi Nagar,Delhi-110092 ;;BW/005820 ;;01/06/2020 332.01 LIP Alexander Lipton Financial engineering : selected works of Alexander Lipton /Alexander Lipton New Jersey : World Scientific , 2018 xxi, 608 pages ; 25 cm 14119 Part I. Exotic options -- Passport to success -- Similarities via self-similarities -- Predictability and unpredictability in financial markets -- Universal barriers -- Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results -- Part II. Volatility smile -- Black-scholes goes hypergeometric -- The reduction method for valuing derivative securities -- The vol smile problem -- Assets with jumps -- Stochastic volatility models and Kelvin waves -- Filling the gaps -- Asymtotics for exponential lévy processes and their volatility smile: survey and new results -- Oscillating bachelier and black-scholes formulas -- Part III. Credit risk -- Dynamic credit models -- Credit value adjustment for credit default swaps via the structural default model -- Credit default swaps with and without counterparty and collateral adjustments -- Pricing credit default swaps with bilateral value adjustments -- Part IV. Money and markets -- Trading strategies via book imbalance -- Modern monetary circuit theory, stability of interconnected banking network, and balance sheet optimization for individual banks -- Structural default model with mutual obligations. 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, Chic Economics Financial engineering. Alexander Lipton BOOK 0 0 ddc 0 1 SNUL SNUL 2020-07-07 Brijwasi Book Distributors 14119.00 0 332.01 LIP 27622 2024-01-22 00:00:00 2020-07-07 BOOK