On Derivatives and Quants
Valeri P
Author: A.Lipton
Publisher: Risk.net
Description: Alex Lipton on how the role of quants is adapting to the new financial environment
Read MorePublications Details
Filtering by Category: Journal Article
Mathematical methods for foreign exchange: a financial engineer's approach
Valeri P
Author: A.Lipton
Publisher: World Scientific Publishing Co Inc, 2001
Description: This comprehensive book presents a systematic and practically oriented approach to mathematical modeling in finance, particularly in the foreign exchange context.
Read MoreShort wavelength instabilities of Riemann ellipsoids
Valeri P
Author: Lebovitz N, Lifschitz A
Publisher: Philosophical Transactions of the Royal Society, London, 1996, Series A, Vol: 354, Pages: 927-950
Description:Perturbations of incompressible S-type Riemann ellipsoids are considered in the limit of short wavelength.
Read MoreThe vol smile problem
Valeri P
Author: Lipton A
Publisher: Risk Magazine, Vol: 15, Pages: 61-65, 2001
Description:The comparative liquidity of vanilla and exotic options in the major forex markets makes them a useful experimental laboratory for testing volatility smile models.
Read MoreCredit value adjustment for credit default swaps via the structural default model
Valeri P
Authors: Lipton A, Sepp A
Publisher: The Journal of Credit Risk, Vol: 5, Pages: 123-146, 2007
Description:We present a multi-dimensional jump-diffusion version of a structural default model and show how to use it in order to value the credit value adjustment for a credit default swap.
Read More