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ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS

ANDERSEN, LEIF; LIPTON, ALEXANDER - In: International Journal of Theoretical and Applied … 16 (2013) 01, pp. 1350001-1

Exponential Lévy processes can be used to model the evolution of various financial variables such as FX rates, stock prices, and so on. Considerable efforts have been devoted to pricing derivatives written on underliers governed by such processes, and the corresponding implied volatility...

Persistent link: https://www.econbiz.de/10010661004

Structural default model with mutual obligations

Itkin, Andrey; Lipton, Alexander - arXiv.org - 2015

This paper considers mutual obligations in the interconnected bank system and analyzes their influence on joint and marginal survival probabilities as well as CDS and FTD prices for the individual banks. To make the role of mutual obligations more transparent, a simple structural default model...

Persistent link: https://www.econbiz.de/10011276264

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

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

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

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

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

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

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

EXOTIC OPTIONS - SIMILARITIES VIA SELF-SIMILARITIES - Lookback, passport and Asian options present a challenge to dealers seeking to price and hedge them. But they are all different aspects of the same problem, Using a little-known mathematical technique, the author provides a solution.

Lipton, Alexander - In: Risk : managing risk in the world's financial markets 12 (1999) 9, pp. 101-105

Persistent link: https://www.econbiz.de/10007054535