Alexander Lipton

affiliation not provided to SSRN

SCHOLARLY PAPERS

2

DOWNLOADS

442

CITATIONS

1

Scholarly Papers (2)

1.

Asymptotics for Exponential Levy Processes and Their Volatility Smile: Survey and New Results

Number of pages: 92 Posted: 28 Jun 2012
Leif B. G. Andersen and Alexander Lipton
Bank of America Merrill Lynch and affiliation not provided to SSRN
Downloads 299 (99,811)
Citation 14

Abstract:

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option pricing, Levy processes, local volatility processes, small-time asymptotics, large-time asymptotics, wing asymptotics

2.

(Preface) Credit Correlation: Life after Copulas

CREDIT CORRELATION: LIFE AFTER COPULAS, Alexander Lipton, Andrew Ronnie, eds., World Scientific Publishing Co., 2007, International Journal of Theoretical and Applied Finance, Vol. 10, No. 4, 2007
Number of pages: 1 Posted: 07 Oct 2009
Alexander Lipton and Andrew Rennie
affiliation not provided to SSRN and Merrill Lynch & Co. - Merrill Lynch, UK
Downloads 143 (200,656)

Abstract:

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credit derivatives, Gaussian copulas, tranches, credit baskets, base correlations