8 citations · 23 across the 9 of their papers we have counts for
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q-fin.PR2012★ 2 cited
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…
q-fin.PR2012
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…