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Old problems, classical methods, new solutions

Lipton, Alexander - In: Options - 45 years since the publication of the …, (pp. 331-375). 2023

Persistent link: https://www.econbiz.de/10014366665

Structural default model with mutual obligations

Itkin, Andrey; Lipton, Alexander - In: Review of derivatives research 20 (2017) 1, pp. 15-46

Persistent link: https://www.econbiz.de/10011930552

Modern monetary circuit theory, stability of interconnected banking network, and balance sheet optimization for individual banks

Lipton, Alexander - In: International journal of theoretical and applied finance 19 (2016) 6, pp. 1-57

Persistent link: https://www.econbiz.de/10011572391

The Oxford handbook of credit derivatives

Lipton, Alexander (ed.) - 2011 - 1. paperback ed.

This handbook provides a timely discussion of the mathematical modelling that underpins both credit derivatives and securitisation. It covers statistical analysis and techniques modelling of default of both single and multiple entities counterparty risk, Gaussian and non-Gaussian modelling, and...

Persistent link: https://www.econbiz.de/10012669771

Old problems, classical methods, new solutions

Lipton, Alexander - In: International journal of theoretical and applied finance 23 (2020) 4, pp. 1-37

Persistent link: https://www.econbiz.de/10012284595

Toward an interoperabilityaArchitecture for blockchain autonomous systems

Hardjono, Thomas; Lipton, Alexander; Pentland, Alex - In: IEEE transactions on engineering management : EM 67 (2020) 4, pp. 1298-1309

Persistent link: https://www.econbiz.de/10012388088

Transition probability of Brownian motion in the octant and its application to default modelling

Kaushansky, Vadim; Lipton, Alexander; Reisinger, Christoph - In: Applied mathematical finance 25 (2018) 5/6, pp. 434-465

Persistent link: https://www.econbiz.de/10012129173

The broad consequences of narrow banking

Grasselli, Matheus R.; Lipton, Alexander - In: International journal of theoretical and applied finance 22 (2019) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10012012843

Cryptocurrencies change everything

Lipton, Alexander - In: Quantitative finance 21 (2021) 8, pp. 1257-1262

Persistent link: https://www.econbiz.de/10012608644

A closed-form solution for optimal Ornstein-Uhlenbeck driven trading strategies

Lipton, Alexander; López de Prado, Marcos M. - In: International journal of theoretical and applied finance 23 (2020) 8, pp. 1-34

Persistent link: https://www.econbiz.de/10012496922