2 citations · 3 across the 3 of their papers we have counts for
5 papers
Blockchains and Distributed Ledgers in Retrospective and Perspective
Alexander Lipton
We introduce blockchains and distributed ledgers and describe their potential applications to money and banking. The analysis compares public and private ledgers and outlines the s…
Systemic Risks in CCP Networks
Russell Barker, Andrew Dickinson, Alex Lipton +1
We propose a model for the credit and liquidity risks faced by clearing members of Central Counterparty Clearing houses (CCPs). This model aims to capture the features of: gap risk…
Structural default model with mutual obligations
Andrey Itkin, Alexander Lipton
This paper considers mutual obligations in the interconnected bank system and analyzes their influence on joint and marginal survival probabilities as well as CDS and FTD prices fo…
Pricing credit default swaps with bilateral value adjustments
Alexander Lipton, Ioana Savescu
A three-dimensional extension of the structural default model with firms' values driven by correlated diffusion processes is presented. Green's function based semi-analytical metho…
Asymptotics for Exponential Levy Processes and their Volatility Smile: Survey and New Results
Leif Andersen, Alexander Lipton
Exponential Lévy processes can be used to model the evolution of various financial variables such as FX rates, stock prices, etc. Considerable efforts have been devoted to pricing…