Alex Lipton

Hebrew University of Jerusalem

Mount Scopus

Jerusalem, IL Jerusalem 91905

Israel

Massachusetts Institute of Technology (MIT)

77 Massachusetts Avenue

50 Memorial Drive

Cambridge, MA 02139-4307

United States

SCHOLARLY PAPERS

6

DOWNLOADS
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Top 3,832

in Total Papers Downloads

10,752

SSRN CITATIONS
Rank 19,276

SSRN RANKINGS

Top 19,276

in Total Papers Citations

5

CROSSREF CITATIONS

39

Scholarly Papers (6)

1.

A Closed-Form Solution for Optimal Mean-Reverting Trading Strategies

Number of pages: 32 Posted: 09 Mar 2020 Last Revised: 24 Mar 2020
Alex Lipton and Marcos Lopez de Prado
Hebrew University of Jerusalem and Cornell University - Operations Research & Industrial Engineering
Downloads 4,789 (1,738)

Abstract:

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optimal trading strategy, Heat potentials, Ornstein-Uhlenbeck process, mean-reversion

2.

Three Quant Lessons from COVID-19 (Presentation Slides)

Number of pages: 15 Posted: 31 Mar 2020
Alex Lipton and Marcos Lopez de Prado
Hebrew University of Jerusalem and Cornell University - Operations Research & Industrial Engineering
Downloads 4,503 (2,119)

Abstract:

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COVID-19, nowcasting, machine learning, Monte Carlo, backtesting, backtest overfitting

3.

Credit Value Adjustment for Credit Default Swaps via the Structural Default Model

The Journal of Credit Risk, Vol. 5, No. 2, pp. 127-150, 2009
Number of pages: 17 Posted: 22 Sep 2012 Last Revised: 03 Jun 2013
Alex Lipton and Artur Sepp
Hebrew University of Jerusalem and Quantica Capital AG
Downloads 471 (63,080)
Citation 4

Abstract:

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counterparty risk, jump-to-default

4.

Filling the Gaps

Risk Magazine, October 2011, 66-71
Number of pages: 22 Posted: 23 Sep 2012
Alex Lipton and Artur Sepp
Hebrew University of Jerusalem and Quantica Capital AG
Downloads 442 (68,069)

Abstract:

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local volatility, diffusion with tiled volatility

5.

Simulation in the Real World

Number of pages: 17 Posted: 31 Aug 2016
Independent, Bank of America and Hebrew University of Jerusalem
Downloads 324 (97,575)

Abstract:

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Asset Pricing, Risk Management, Risk-Neutral Pricing, Term Structure of Interest Rates, Esscher Transform

6.

Stochastic Volatility Models and Kelvin Waves

Journal of Physics A: Mathematical and Theoretical, Vol. 41, 2008
Number of pages: 27 Posted: 22 Sep 2012
Alex Lipton and Artur Sepp
Hebrew University of Jerusalem and Quantica Capital AG
Downloads 223 (143,982)
Citation 1

Abstract:

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Stochastic volatility, Stein-Stein model, Heston model