31 citations · 109 across the 28 of their papers we have counts for
4 papers · 1 filter
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…
Old Problems, Classical Methods, New Solutions
Alexander Lipton
We use a powerful extension of the classical method of heat potentials, recently developed by the present author and his collaborators, to solve several significant problems of fin…
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…