Financial Engineering: Selected Works Of Alexander Lipton

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'Alex Lipton is an absolutely remarkable person. Having joined the field of quantitative finance after a career where he became a world leader in the field of plasma and fusion physics, he has become rightly famous for his beautiful papers on many topics, from the volatility smile to money supply ... He's marvellously practical; one is always introduced to the area with a bit of elegant prose and the papers, though very mathematical, never lose the thread of linguistic narrative which makes each one a story which has to be read to the end ... Part 4 covers several topics centred around money supply and circulation, and in some ways this is the best part of the book ... it's a lovely book and I really enjoyed reading it.'Quantitative FinanceEdited by Alexander Lipton (Quant of the Year, 2000), this volume is a collection of Lipton's important and original papers on financial engineering written over his 20-year career as a preeminent quant working for leading financial institutions in New York, Chicago, and London. The papers cover topics ranging from the volatility smile problem, credit risk, macroeconomics and monetary circuit, and exotic options, summarizing Lipton's fundamental contributions to these areas.In addition to papers published in leading academic and practitioner-oriented journals, this volume contains a detailed introduction and two previously unpublished chapters. Some of the seminal papers in this book cover local-stochastic volatility models, passport options, credit value adjustments for credit default swaps, and asymptotics for exponential Levy processes and their volatility smile.Alexander Lipton is one of the most respected quants of his generation and the first recipient of the prestigious Quant of the Year award by Risk Magazine.

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