: selected works of Alexander Lipton Alexander Lipton creator Alexander Lipton text Financial engineering. New Jersey : World Scientific , 2018 monographic eng

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xxi, 608 pages ; 25 cm 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 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. /Alexander Lipton Economics 332.01 LIP 9789813209152 Brijwasi Book Distributors ;;H-87,Lalita Park,Laxmi Nagar,Delhi-110092 200707 20210802111057.0