31 citations · 109 across the 28 of their papers we have counts for
9 papers · 1 filter
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: 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…
From the Black-Karasinski to the Verhulst model to accommodate the unconventional Fed's policy
A. Itkin, A. Lipton, D. Muravey
In this paper, we argue that some of the most popular short-term interest models have to be revisited and modified to reflect current market conditions better. In particular, we pr…
On the First Hitting Time Density of an Ornstein-Uhlenbeck Process
Alexander Lipton, Vadim Kaushansky
In this paper, we study the classical problem of the first passage hitting density of an Ornstein--Uhlenbeck process. We give two complementary (forward and backward) formulations…
Transition probability of Brownian motion in the octant and its application to default modeling
Vadim Kaushansky, Alexander Lipton, Christoph Reisinger
We derive a semi-analytic formula for the transition probability of three-dimensional Brownian motion in the positive octant with absorption at the boundaries. Separation of variab…
Numerical analysis of an extended structural default model with mutual liabilities and jump risk
Vadim Kaushansky, Alexander Lipton, Christoph Reisinger
We consider a structural default model in an interconnected banking network as in Lipton [International Journal of Theoretical and Applied Finance, 19(6), 2016], with mutual obliga…