31 citations · 109 across the 28 of their papers we have counts for
32 papers
SPX, VIX and scale-invariant LSV\footnote{Local Stochastic Volatility}
Alexander Lipton, Adil Reghai
Local Stochastic Volatility (LSV) models have been used for pricing and hedging derivatives positions for over twenty years. An enormous body of literature covers analytical and nu…
Toward an efficient hybrid method for pricing barrier options on assets with stochastic volatility
Alexander Lipton, Artur Sepp
We combine the one-dimensional Monte Carlo simulation and the semi-analytical one-dimensional heat potential method to design an efficient technique for pricing barrier options on…
Multilayer heat equations and their solutions via oscillating integral transforms
Andrey Itkin, Alexander Lipton, Dmitry Muravey
By expanding the Dirac delta function in terms of the eigenfunctions of the corresponding Sturm-Liouville problem, we construct some new (oscillating) integral transforms. These tr…
Automated Market-Making for Fiat Currencies
Alex Lipton, Artur Sepp
We present an automated market-making (AMM) cross-settlement mechanism for digital assets on interoperable blockchains, focusing on central bank digital currencies (CBDCs) and stab…
Cryptocurrencies and the Future of Money
Matheus R. Grasselli, Alexander Lipton
We review different classes of cryptocurrencies with emphasis on their economic properties. Pure-asset coins such as Bitcoin, Ethereum and Ripple are characterized by not being a l…
Multilayer heat equations: application to finance
A. Itkin, A. Lipton, D. Muravey
In this paper, we develop a Multilayer (ML) method for solving one-factor parabolic equations. Our approach provides a powerful alternative to the well-known finite difference and…