31 citations · 109 across the 28 of their papers we have counts for
5 papers · 1 filter
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…
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…
A structural approach to pricing credit default swaps with credit and debt value adjustments
Alexander Lipton, Ioana Savescu
A multi-dimensional extension of the structural default model with firms' values driven by diffusion processes with Marshall-Olkin-inspired correlation structure is presented. Semi…