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Three-dimensional Brownian motion and its applications to CVA and trading

Joint CAMS & Mathematical Finance Colloquium

Enjoy this joint CAMS & Mathematical Finance Colloquium lecture with Alexander Lipton.

Alexander Lipton
Bank of America, visiting Oxford University

What is Mathematical Finance?

Mathematical Finance is one of several competing scientific disciplines aimed at understanding the behavior of financial markets. There are other disciplines aiming to achieve similar goals, such as Economics; Theory of Finance; Econometrics; Statistics; Econo-physics; Actuarial science; Etc.

Practitioners of each of these disciplines claim to possess a unique set of tools and a special angle to deal with financial markets. There is a lot of friendly (and not so friendly) competition among them.

Alex Lipton was a Managing Director and Co-Head of the Global Quantitative Group at
Bank of America Merrill Lynch, and a Visiting professor of Mathematics at Imperial College
London. Prior to his current role, he was a Managing Director and Head of Capital Structure Quantitative Research 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 and 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 was awarded the first Quant of the Year Award by Risk Magazine.