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FINANCIAL ENGINEERING

FINANCIAL ENGINEERING

Financial Engineering

Alexander Lipton

276,06 €
IVA incluido
Disponible
Editorial:
World Scientific Publishing Co Pte Ltd
Año de edición:
2018
Materia
Finanzas
ISBN:
9789813209152
276,06 €
IVA incluido
Disponible
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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in leading academic and practitioner-oriented journals, this volume contains a detailed introduction and two previously unpublished chapters.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 Lévy 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.

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