Mathematical methods for foreign exchange

By Alexander Lipton. 2001

104 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/b3c31b6f70ef9db4427fc66feab00812867ef984

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Adrien de Larrard
2. Rama Cont
3. Marceau Decamps
4. V. Gorovoi
5. Vadim Linetsky
6. Wim Schoutens
7. Marc J. Goovaerts
8. Justin A. Sirignano

In Finance

1. Wim Schoutens
2. Adrien de Larrard
3. Marceau Decamps
4. Marc J. Goovaerts
5. Vadim Linetsky
6. V. Gorovoi
7. Rama Cont
8. Steven Kou

In Management Science and Operations Research

1. Adrien de Larrard
2. Wim Schoutens
3. Marceau Decamps
4. V. Gorovoi
5. Rama Cont
6. Vadim Linetsky
7. Marc J. Goovaerts
8. Alec N. Kercheval

Citations in the corpus

• A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options (2010, unknown): “Then using results in Lipton (2001), Lewis (2001) and Kangro et al. (2004), and recalling that ( ) ( ) τ , exp , x K U V − represents the undiscounted price, we can write:”
• Self Exciting Threshold Interest Rates Models (2006, methodology): “Without claiming any exhaustiveness, we refer e.g. to Lewis (1998), Lipton (2001) and (2002), Linetsky (2004) and Gorovoi and Linetsky (2004).”
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES (2004, unknown): “These ∂I/∂x bounds depend on I so bounds on I itself would follow by solving ODEs, and Lipton (2001) mentions that the resulting I bounds are O(|x|1/2) for large |x|.”
• Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates (2004, background): “Applications to derivatives pricing can be found in Beaglehole (1991), Davydov and Linetsky (2003), Goldstein and Keirstead (1997), Lewis (1994, 1998, 2000), Linetsky (2001, 2002a, 2002b, 2003), and Lipton (2001).”
• THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE (2004, background): “Linetsky [60, 61] develops spectral expansions for arithmetic Asian options in the Black–Scholes model.”
• Order Book Dynamics in Liquid Markets: Limit Theorems and Diffusion Approximations (2012, methodology): “Using the results of (Lipton 2001, Eq.”
• On the pricing and hedging of volatility derivatives (2004, unknown): “As a result, a number of recent papers (Brockhaus and Long, 1999; Demeterfi et al., 1999; Detemple and Osake, 1999; Heston, 2000; Javaheri et al., 2002) address the evaluation of volatility products; see also Chapter 13 of Lipton (2001).”
• Option pricing under hybrid stochastic and local volatility (2013, unknown): “…it is more convenient to rewrite the above option formula in the form that directly generalizes the standard Black–Scholes formula (see, for example, Lipton (2001)): CCEV(t, x) = e−r(T −t) x ∫ ∞ Ǩ ( x̌ y )1/[2(2−θ)] e−(x̌+y) I1/(2−θ)(2 √ x̌ y) dy − e−r(T −t) K ∫ ∞ Ǩ ( y x̌ )1/[2(2−θ)] e−(x̌+y)…”