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Lipton, Alexander
8
Baxter, Martin
3
Rennie, Andrew
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Risk : managing risk in the world's financial markets
7
Econometric theory
1
Journal of economic literature
1
The economic journal : the journal of the Royal Economic Society
1
The journal of credit risk : published quarterly by Incisive Media
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OLC EcoSci
ECONIS (ZBW)
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1
Financial calculus: An introduction to derivative pricing
Baxter, Martin
;
Rennie, Andrew
;
Jorion, Philippe
- In:
Journal of economic literature
36
(
1998
)
1
,
pp. 251
Persistent link: https://www.econbiz.de/10006848706
Saved in:
2
Financial Calculus: An Introduction to Derivative Pricing
Baxter, Martin
;
Rennie, Andrew
;
Coakley, Jerry
- In:
The economic journal : the journal of the Royal …
108
(
1998
)
448
,
pp. 889
Persistent link: https://www.econbiz.de/10007535975
Saved in:
3
Financial Calculus: An Introduction to Derivative Pricing
Sørensen, Bent E.
;
Baxter, Martin
;
Rennie, Andrew
- In:
Econometric theory
14
(
1998
)
3
,
pp. 365-368
Persistent link: https://www.econbiz.de/10006993038
Saved in:
4
BOOK REVIEW My Life as a Quant - Reflections on Physics and Finance
Derman, Emanuel
;
Lipton, Alexander
- In:
Risk : managing risk in the world's financial markets
18
(
2005
)
4
,
pp. 74
Persistent link: https://www.econbiz.de/10007023817
Saved in:
5
Option pricing: Assets with jumps - The deepening understanding of jump processes in recent years has been an exciting development for financial prac titioners. However, while the impact on derivatives pricing has been profound, analytical treatments have proved complex. The author develops a new approach using log-exponential jumps.
Lipton, Alexander
- In:
Risk : managing risk in the world's financial markets
15
(
2002
)
9
,
pp. 149-153
Persistent link: https://www.econbiz.de/10007035414
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6
Masterclass with Deutsche Ban: Universal barriers - There is an increasing volume of barrier products traded in the forex options market. The authors discuss the pricing of barriers under various model frameworks, focising on universal volatility models.
Lipton, Alexander
;
McGhee, William
- In:
Risk : managing risk in the world's financial markets
15
(
2002
)
5
,
pp. 81-86
Persistent link: https://www.econbiz.de/10007037016
Saved in:
7
Book review: Engineering forex
Lipton, Alexander
;
Benson, Robert
- In:
Risk : managing risk in the world's financial markets
15
(
2002
)
4
,
pp. 52-84
Persistent link: https://www.econbiz.de/10007038426
Saved in:
8
Masterclass with Deutsche Bank: The vol smile problem - The author examines a wide range of volatility smile models in the context of the liquidity of the forex options markets.
Lipton, Alexander
- In:
Risk : managing risk in the world's financial markets
15
(
2002
)
2
,
pp. 61-66
Persistent link: https://www.econbiz.de/10007039515
Saved in:
9
Option pricing models: Black-Scholes goes hypergeometric - The authors introduce a general pricing formula that extends Black-Scholes and contains as particular cases most analytically solvable models in the literature, including the quadratic and the constant elasticity of variance models for European-style and barrier options.
Albanese, Claudio
;
Campolieti, Giuseppe
;
Carr, Peter
; …
- In:
Risk : managing risk in the world's financial markets
14
(
2001
)
12
,
pp. 99-124
Persistent link: https://www.econbiz.de/10007040151
Saved in:
10
Credit value adjustment for credit default swaps via the structural default model
Lipton, Alexander
;
Sepp, Artur
- In:
The journal of credit risk : published quarterly by …
5
(
2009/10
)
2
,
pp. 127-150
Persistent link: https://www.econbiz.de/10009932464
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