Alex Lipton

Hebrew University of Jerusalem

Mount Scopus

Jerusalem, Jerusalem 91905

Israel

Massachusetts Institute of Technology (MIT)

77 Massachusetts Avenue

50 Memorial Drive

Cambridge, MA 02139-4307

United States

SCHOLARLY PAPERS

11

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28,530

SSRN CITATIONS
Rank 20,874

SSRN RANKINGS

Top 20,874

in Total Papers Citations

8

CROSSREF CITATIONS

40

Scholarly Papers (11)

1.

Three Quant Lessons from COVID-19 (Presentation Slides)

Number of pages: 19 Posted: 31 Mar 2020 Last Revised: 22 Aug 2021
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Hebrew University of Jerusalem
Downloads 12,402 (499)

Abstract:

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

2.

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

Number of pages: 32 Posted: 09 Mar 2020 Last Revised: 24 Mar 2020
Hebrew University of Jerusalem and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 8,422 (990)

Abstract:

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

3.

Exit Strategies for COVID-19: An Application of the K-SEIR Model (Presentation Slides)

Number of pages: 52 Posted: 22 Apr 2020
Hebrew University of Jerusalem and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 3,077 (5,655)

Abstract:

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COVID-19, pandemic, SEIR, case fatality rate, reproductive numbers, lockdowns

4.

Three Quant Lessons from COVID-19

Risk Magazine, April 2020.
Number of pages: 6 Posted: 21 Apr 2020 Last Revised: 01 May 2020
Hebrew University of Jerusalem and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 1,349 (20,756)
Citation 1

Abstract:

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COVID-19, pandemic, SEIR, case fatality rate, reproductive numbers, lockdowns

5.

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 Sygnum Bank Asset Management
Downloads 580 (66,557)
Citation 4

Abstract:

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counterparty risk, jump-to-default

6.

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 Sygnum Bank Asset Management
Downloads 547 (71,671)

Abstract:

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local volatility, diffusion with tiled volatility

7.

Mitigation Strategies for COVID-19: Lessons from the K-SEIR Model

Number of pages: 53 Posted: 16 Jun 2020 Last Revised: 17 May 2022
Hebrew University of Jerusalem and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 503 (79,487)
Citation 2

Abstract:

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COVID-19, pandemic, SEIR, K-SEIR, epidemiology, case fatality rate, reproductive numbers, lockdowns

8.

Toward an Efficient Hybrid Method for Pricing Barrier Options on Assets With Stochastic Volatility

Number of pages: 33 Posted: 05 Apr 2022
Alex Lipton and Artur Sepp
Hebrew University of Jerusalem and Sygnum Bank Asset Management
Downloads 457 (89,176)

Abstract:

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barrier options, stochastic volatility, Heston model, heat potentials, semi-analytical solution, Volterra equation, Willards' formula

9.

Simulation in the Real World

Number of pages: 17 Posted: 31 Aug 2016
Independent, Bank of America and Hebrew University of Jerusalem
Downloads 445 (91,986)

Abstract:

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

10.

Automated Market-Making for Fiat Currencies

Number of pages: 16 Posted: 11 Oct 2021
Alex Lipton and Artur Sepp
Hebrew University of Jerusalem and Sygnum Bank Asset Management
Downloads 396 (105,245)

Abstract:

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Cryptocurrencies, Automated Market Making, Decentralized Finance, Blockchain, Decentralized Exchanges, Central Bank Digital Currencies

11.

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 Sygnum Bank Asset Management
Downloads 352 (120,189)
Citation 3

Abstract:

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Stochastic volatility, Stein-Stein model, Heston model