Financial Engineering:Selected Works Of Alexander Lipton:Selected Works Of Alexander Lipton

金融工程:Alexander Lipton文选

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1536.00
发货周期:预计3-5周发货
作      者
出  版 社
出版时间
2018年01月29日
装      帧
精装
ISBN
9789813209152
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页      码
500
语      种
英文
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图书简介
Edited by Alexander Lipton (Quant of the Year, 2000), this volume is a collection of Lipton’s important and original papers on financial engineering 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in leading academic and practitioner-oriented journals, this volume contains a detailed introduction and two previously unpublished chapters.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 Lévy 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. Key Feature: o This is a comprehensive collection of innovative articles describing unique contributions of the editor and his co-authors to some of the most important areas of financial engineering. It includes several seminal papers covering local-stochastic volatility models, credit value adjustments for credit default swaps, asymptotics for exponential Lévy processes and their volatility smile, and modern monetary circuit theory. The author 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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