Alexander Lipton Boeken

Focusing on financial engineering, this collection showcases Alexander Lipton's significant contributions over two decades as a leading quant. The volume includes original papers addressing critical topics such as the volatility smile problem, credit risk, macroeconomics, and exotic options. Lipton's work reflects his expertise and influence in the field, making it a valuable resource for understanding complex financial concepts and their applications in major financial hubs like New York, Chicago, and London.

The book explores the connection between physics and financial engineering, focusing on how various physical problems relate to financial models. It addresses the dynamics of linear flows, particle movements in random fields, and key mathematical processes, unifying them through affine differential equations. Central to this analysis are Kelvin waves, which facilitate the study of prominent models like Black-Scholes and Heston, as well as complex volatility models and options pricing. Additionally, it tackles modern challenges such as hedging impermanent loss in cryptocurrency trading.

This book offers a comprehensive overview of mathematical modeling in credit risk, covering statistical techniques, default modeling, counterparty risk, and securitization. It discusses both Gaussian and non-Gaussian approaches, including the Gaussian copula and alternatives. Aimed at students and professionals in finance, it balances theory with practical applications.