31 citations · 109 across the 28 of their papers we have counts for
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q-fin.CP2013
Pricing of vanilla and first generation exotic options in the local stochastic volatility framework: survey and new results
Alexander Lipton, Andrey Gal, Andris Lasis
Stochastic volatility (SV) and local stochastic volatility (LSV) processes can be used to model the evolution of various financial variables such as FX rates, stock prices, and so…
q-fin.TR2013★ 26 cited
Trade arrival dynamics and quote imbalance in a limit order book
Alexander Lipton, Umberto Pesavento, Michael G Sotiropoulos
We examine the dynamics of the bid and ask queues of a limit order book and their relationship with the intensity of trade arrivals. In particular, we study the probability of pric…