000			02205nam a22002297a 4500
999			_c56628 _d56628
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008			200707b ||||| |||| 00| 0 eng d
020			_a9789813209152
028			_aBrijwasi Book Distributors _b;;H-87,Lalita Park,Laxmi Nagar,Delhi-110092 _c;;BW/005820 _d;;01/06/2020
082			_a332.01 LIP
100			_aAlexander Lipton
245			_aFinancial engineering _b: selected works of Alexander Lipton _c/Alexander Lipton
260			_aNew Jersey _b : World Scientific _c, 2018
300			_axxi, 608 pages _c; 25 cm
365			_b14119
505			_aPart 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.
520			_aEdited 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
650			_aEconomics
655			_aFinancial engineering.
700			_aAlexander Lipton
942			_cBOOK