Financial Engineering is edited by Alexander Lipton (Quant of the Year, 2000), this volume is a collection of Lipton’s important and original papers on financial engineering over his 20-year career as a preeminent quant working for leading financial institutions in New York, Chic ‘Alex Lipton is an absolutely remarkable person.
Having joined the field of quantitative finance after a career where he became a world leader in the field of plasma and fusion physics, he has become rightly famous for his beautiful papers on many topics, from the volatility smile to money supply.
Lipton is marvellously practical; one is always introduced to the area with a bit of elegant prose and the papers, though very mathematical, never lose the thread of linguistic narrative which makes each one a story which has to be read to the end.
Part 4 of the book covers several topics centred around money supply and circulation, and in some ways this is the best part of the book.
Covering topics ranging from the volatility smile problem, credit risk, macroeconomics and monetary circuit. In addition, exotic options, summarizing Lipton’s fundamental contributions to these areas.
Furthermore we are exposed to papers published in leading academic and practitioner-oriented journals. This volume contains a detailed introduction and two previously unpublished chapters.
Some of the seminal papers in this book cover local-stochastic volatility models, passport options, credit value adjustments for credit default swaps, and asymptotics for exponential Lévy processes and their volatility smile.
In conclusion, Alexander Lipton is one of the most respected quants of his generation. Moreover, the first recipient of the prestigious Quant of the Year award by Risk Magazine.
Financial Engineering by Professor Alexander Lipton
Alex Lipton is a Managing Director and Global Head of Credit Analytics at Merrill Lynch. In addition a Visiting Professor of Mathematics at Imperial College London. Prior to his current role. Alexander was a Managing Director and Head of Credit Analytics at Citadel Investment Group in Chicago; he has also worked at Credit Suisse, Deutsche Bank and Bankers Trust. Previously, Alex was a Full Professor of Mathematics at the University of Illinois at Chicago. Furthermore, a Consultant at Los Alamos National Laboratory. He received his undergraduate and graduate degrees from Lomonosov Moscow State University.
His current interests include credit correlation and related topics, quantitative aspects of securitization, as well as technical trading strategies. In 2000 Alex received the first Quant of the Year Award by Risk Magazine. Alex is the author of two books. Firstly, Magnetohydrodynamics and Spectral Theory. Secondly, Mathematical Methods for Foreign Exchange. Furthermore, is the editor of two more. He has published numerous research papers on hydrodynamics, magnetohydrodynamics, astrophysics, and financial engineering. Alex has given dozens of invited lectures at leading universities worldwide.
