ALEXANDER LIPTON-LIFSCHITZ
Managing Director and Global Head of Credit Analytics
Merrill Lynch
lipton@ml.com?
EXPERIENCE
- Managing Director and Global Head of Credit Analytics,
Merrill Lynch
London
present - Visiting Professor,
Imperial College
London
present - Managing Director and Head of Credit Analytics,
Citadel
former - US Manager,
Equity Derivatives, Convertible Unit, and Global FX
Global Modeling and Analytics Group,
Credit Suisse First Boston LLP
Director 2002- - US Head,
FX Product Development Group,
Deutsche Bank
Director 2001-2002
Vice-President 1999-2001 - Member,
Global Analytics Group,
Bankers Trust Company
Vice-President 1998-1999
Full-time Consultant 1997-1997 - Faculty Member
Department of Mathematics, Statistics and Computer Science,
The University of Illinois at Chicago
Adjunct Professor 1999-present
Tenured Professor 1996-1999 (on leave 1997-1999)
Tenured Associate Professor 1992-1996
Tenure-Track Assistant Professor 1990-1992 - Visitor
Center for Nonlinear Studies,
Los Alamos National Laboratory
Consultant 1989-1996 - Researcher
Department of Mathematics,
The University of Massachusetts at Amherst
Senior Research Associate 1989-1990 - Visitor
Research Laboratory ofElectronics,
Massachusetts Institute of Technology
Visiting Research Associate 1989-1989 - Researcher
The Russian Academy ofSciences
Senior Research Associate 1986-1988
Research Associate 1982-1986
EDUCATION
- Department of Mathematics, Moscow State University, Russia
PhD, Mathematics, "Spectral properties of degenerate differential operators," 1982.
MS, Mathematics, 1979.
SCIENTIFIC INTERESTS
-
Financial engineering.
Models for credit correlation and securitization and proprietary trading
strategies.
Development and implementation of new models for pricing and risk management of
vanilla and exotic options. Analytical, numerical, and approximate methods of
mathematical finance. Equity derivatives including volatility, variance and
correlation swaps, cliquettes, etc. Convertible bonds and convertible bond
options with an emphasis of default. Foreign exchange options with an emphasis
on stochastic volatility aspects. Capital structure arbitrage. Technical
trading. Methodological issues.
- Hydrodynamics and Astrophysics. New techniques for describing hydrodynamic stability based on geometric optics. Stability of Riemann ellipsoids. Large-scale numerical simulations of fluid motion.
- Magnetohydrodynamics. Algorithms for describing slow evolution of magnetized plasma based on constrained non-linear optimization technique. Mathematical problems of controlled thermonuclear fusion.
- Space Physics. Analytical techniques and numerical tools for adequate modeling of Alfven oscillations of the Earth magnetosphere.
AWARDS
- Most Published Author, Risk Magazine, 2003.
- ``Quant of the Year Award'', Risk Magazine, 2000.
- ``Best Young Geophysicist Award'', The Russian Academy of Sciences, 1982.
PROFILE
Profile: Alex Lipton
GRANT SUPPORT
- Principal Investigator. NSF grant DMS-9623033, 1996-1998 (3 years).
- Principal Investigator (with R. Grossman). NSF grant, 1994-1996 (3 years).
- Principal Investigator (with J.P. Goedbloed). NATO grant CRG-931016, 1993-1995 (3 years).
- Principal Investigator (with J.P. Goedbloed and S Poedts). FOM-Bieleid Struimte (Fundamental Research of Matter -- Strategic Directions, the Netherlands) grant 92BR1074, 1993-1997 (5 years).
- Principal Investigator (with R Grossman). NSF grant IRI-9224605, 1993-1996 (4 years).
- Principal Investigator. NSF grant DMS-9100327, 1991-1992 (2 years).
PhD STUDENTS
- Ronald Nijboer, Free U. of Amsterdam (join advisor with J.P. Goedbloed) (June 1998).
- Bruce Fabijonas, U. of Illinois at Chicago (April 1997);
- Eloy Martinelli, U. of Illinois at Chicago (October 1996).
EDITORIAL SERVICE
- Managing Editor, International Journal of Theoretical and Applied Finance IJTAF
PUBLICATIONS
BOOKS
[1] A. Lifschitz. Magnetohydrodynamics and Spectral Theory. Kluwer Academic Publishers, Dordrecht, 1989, xii+446 pp.
[2] A. Lipton. Mathematical Methods for Foreign Exchange: A Financial Engineer's Approach. World Scientific, Singapore, 2001, xxii+676 pp.
Mathematical Methods For Foreign Exchange: A Financial Engineer's Approach
[3] A. Lipton (Editor). Exotic Options. The Cutting Edge Collection. Risk Books, London, 2003, xxx+312 pp.
Exotic Options: The Cutting-edge Collection - Technical Papers published in Risk 1999-2003
PAPERS
[1] A. Krylov and A. Lifschitz. Natural oscillations of anisotropic media. Soviet Physics - Doklady (1979) 24, 542-543.
[2] A. Krylov, A. Lifschitz and E. Fedorov. On the resonant properties of a plasma in a curvilinear magnetic field. Doklady Akademii Nauk SSSR (1979) 247, 1094-1095 (in Russian).
[3] A. Krylov, A. Lifschitz and E. Fedorov. Resonance properties of magnetospheric lines of force. Geomagnetism and Aeronomy (1980) 20, 478-480.
[4] A. Krylov and A. Lifschitz. On hyperbolic systems with nonpropagating perturbations. Soviet Mathematics - Dokiady (1980) 21, 868-871.
[5] A. Lifschitz. Oscillations of anisotropic resonators. Functional Analysis and its Applications (1980) 14, 132-133.
[6] A. Krylov, A. Lifschitz and E. Fedorov. On the resonant properties of the magnetosphere. Izvestiya of the Academy of Sciences of the USSR, Earth Physics (1981) 17, 429-434.
[7] M. Gokhberg, A. Krylov and A. Lifschitz. Relation between the Alfven velocity and phase delays in a one-dimensionally inhomogeneous plasma. Geomagnetism and Aeronomy (1982) 22, 337-339.
[8] S. Burkov and A. Lifschitz. Stability of moving soliton superstructures. JETP Letters (1982) 35, 233-235.
[9] A. Lifschitz. Spectral properties of degenerate systems of differential equations. Moscow State University Press, 1982, 13 pp. (Extended abstract of Ph.D. thesis, in Russian.)
[10] A. Krylov and A. Lifschitz. The form of resonant pulsations of the magnetic shells in the magnetosphere. Izvestiya of the Academy of Sciences the USSR, Earth Physics, (1983) 19, 835-842.
[11] A. Krylov and A. Lifschitz. Localized waves in a cool nonuniform plasma. Soviet Physics - Doklady (1983) 28, 621-622.
[12] A. Krylov and A. Lifschitz. The shape of Alfven modes in an axisymmetric adiabatic trap (the magnetosphere). Transactions (Doklady) of the USSR Academy of Sciences, Earth Science Sections (1983) 268, 32-35.
[13] S. Burkov and A. Lifschitz. Stability of moving soliton lattices. Wave Motion (1983) 5, 197-213.
[14] A. Lifschitz. Spectral properties of degenerate systems of ordinary differential equations on a finite interval. Functional Analysis and its Applications (1983) 17, 62-63.
[15] S. Burkov and A. Lifschitz. Stability of moving soliton superstructures. International Symposium ''Synergetics and Cooperative Phenomena in Solids and Macromolecules'', Tallinn, USSR, 1982. Proceedings, 1983, 169-175.
[16] A. Krylov and A. Lifschitz. Quasi - Alfven oscillations of magnetic surfaces. Planetary and Space Science (1984) 32, 481-492.
[17] A. Krylov and A. Lifschitz. Langmuir oscillations of a three - dimensional nonuniform plasma. Soviet Physics - Dokiady (1984) 29, 535-536.
[18] A. Lifschitz, E. Fedorov and U. Schaper. Comment on the paper ''On the influence of the Hall effect on the spectrum of the ideal magnetohydrodynamic cylindrical pinch'' by U. Schaper. Journal of Plasma Physics (1984) 31, 173-175.
[19] S. Burkov and A. Lifschitz. Stability of travelling vortex lattices in long Josephson junctions. Physics Letters A (1984) 106, 71-73.
[20] A. Lifschitz. On the continuous spectrum in some problems of mathematical physics. Soviet Physics - Doklady (1984) 29, 625-627.
[21] A. Lifschitz. Weakly connected systems with nonpropagating waves. Functional Analysis and its Applications (1984) 18, 142-144.
[22] A. Krylov and A. Lifschitz. Problems with continuous spectrum in plasma physics. Russian Mathematical Surveys (1984) 39, 218-219 (in Russian).
[23] A. Lifschitz and G. Rybnikov. Dissipative structures and Couette flow in a non-Newtonian fluid. Soviet Physics - Doklady (1985) 30, 275-278.
[24] A. Lifschitz and M. Petrova. On the control of a stationary flow of matter in some chemical reactions. Soviet Journal of Chemical Physics (1985) 3, 1113-1121.
[25] A. Lifschitz and E. Fedorov. Oscillation modes in ideal and resistive magnetohydrodynamic systems. Soviet Physics - Technical Physics (1985) 30, 458-459.
[26] A. Lifschitz. The Fermi Golden Rule for ideal magnetohydrodynamics. Journal of Plasma Physics (1985) 33, 249-256.
[27] A. Lifschitz and E. Fedorov. Hydromagnetic oscillations in the magnetosphere - ionosphere cavity. Transactions (Doklady) of the USSR Academy of Sciences, Earth Science Sections (1986) 287, 11-13.
[28] A. Lifschitz. Continuous spectrum in general toroidal systems (ballooning and Alfven modes). Physics Letters A (1987) 122, 350-356.
[29] S. Burkov and A. Lifschitz. Stability of soliton superstructures. Physics of the Earth and Planetary Interiors (1988) 50, 56-59.
[30] A. Lifschitz. An echo effect in hydrodynamics. Soviet Physics - Doklady (1989) 34, 783-785.
[31] A. Eydeland, A. Lifschitz , J. Spruck and B. Turkington. A variational approach to adiabatic plasma evolution in ideal MHD. The 13th Conference on the Numerical Simulation of Plasmas, Santa Fe, New Mexico, USA, 1989. Proceedings, 1989, Sect. PMA4, 1-4.
[32] A. Lifschitz. A new description of Alfven modes. Physics Letters A (1990) 143, 305-310.
[33] A. Lifschitz. Essential spectrum and local stability condition in hydrodynamics. Physics Letters A (1991) 152, 199-204.
[34] A. Lifschitz. Short wavelength instabilities of incompressible three dimensional flows and generation of vorticity. Physics Letters A (1991) 157, 481-486.
[35] A. Lifschitz and E. Hameiri. Local stability conditions in fluid dynamics. The Physics of Fluids A (1991) 34, 2644-2651.
[36] A. Lifschitz and E. Hameiri. Localized instability in fluids. Topological Aspects of the Dynamics of Fluids and Plasmas, H.K. Mof fatt, G.M. Zaslavsky, M. Tabor and P. Comte, eds., Kluwer Academic Publishers, Dordrecht, 1992, 551-561.
[37] A. Lifschitz. On the instability of three-dimensional flows of an ideal incompressible fluid Physics Letters A (1992) 167, 465-474.
[38] N. Lebovitz and A. Lifschitz. Short wavelength instabilities of rotating compressible fluid masses. Proceedings of the Royal Society, London. A (1992) 433, 265-290.
[39] N. Lebovitz and A. Lifschitz. Local hydrodynamic instability of rotating stars. Astrophysical Journal (1993) 40, 603-614.
[40] A. Lifschitz. The Rayleigh centrifugal instability for vortex rings with swirl. Singularities in Fluids, Plasmas and Optics, R. Caflisch, ed., Kluwer Academic Publishers, Dordrecht, 1993, 137-149.
[41] A. Lifschitz and E. Hameiri. Localized instabilities of vortex rings with swirl. Communications on Pure and Applied Mathematics (1993) 46, 1379-1408.
[42] B. Turkington, A. Lifschitz, J. Spruck, and A. Eydeland. Multiconstrained variational problems in magnetohydrodynamics. Journal of Computational Physics (1993) 106, 269-285.
[43] A. Lifschitz. On the instability of certain motions of an ideal incompressible fluid. Advances in Applied Mathematics (1994) 15, 404-436.
[44] N. Lebovitz and A. Lifschitz. Short wavelength instabilities of axisymmetric rotating masses. In Three Dimensional Systems, Annals of New York Academy of Science (1995) 751, 144-151.
[45] J.P. Goedbloed and A. Lifschitz. Comment on ''Symmetry analysis of the nonlinear MHD equations'' by T. Wu. Physics Letters A (1995) 198, 467-468.
[46] A. Lifschitz. Instabilities of ideal fluids and related topics. Z. Angew. Math. Mech., (1995), 75, 411-422.
[47] A. Lifschitz. Exact description of the spectrum of elliptical vortices in hydrodynamics and magnetohydrodynamics, The Physics of Fluids (1995) 7, 1626-1636.
[48] J.P. Goedbloed and A. Lifschitz. Comment on ''Alfven resonance reconsidered'' by P.M. Bellan. Physics of Plasmas (1995) 2 (9), 3550-3551.
[49] N. Lebovitz and A. Lifschitz. New global instabilities of the Riemann ellipsoids. The Astrophysical Journal (1996) 458, 699-713.
[50] B. Bayly, D. Holm and A. Lifschitz. Three-dimensional stability of elliptical vortex columns in external strain flows. Transactions of the Royal Society, London (1996) 354, 1-32.
[51] N. Lebovitz and A. Lifschitz. Short wavelength instabilities of Riemann ellipsoids. Transactions of the Royal Society, London (1996) 354, 33-56.
[52] J.P. Goedbloed and A. Lifschitz. Symmetry of magnetohydrodynamic flows. Astrophysical Letters and Communications (1996) 34, 261-267.
[53] A. Lifschitz. Spectral problems of hydrodynamics and magnetohydrodynamics. Z. Angew. Math. Mech. (1996) 76S2, 225-228.
[54] A. Lifschitz and B. Fabijonas. A new class of instabilities of rotating fluids. The Physics of Fluids (1996) 8, 2239-2241.
[55] A. Lifschitz, H. Suters and T. Beale. The onset of instability in exact vortex rings with swirl. Journal of Computational Physics (1996) 129, 8-29.
[56] A. Lifschitz, H. Suters and T. Beale. A numerical and analytical study of vortex rings with swirl. ESAIM: Proceedings (1996) 1, 565-575.
[57] B. Fabijonas, D. Holm and A. Lifschitz. Secondary instabilities of flows with elliptic streamlines. Physical Review Letters (1997) 78, 1900-1903.
[58] N. Lebovitz, A. Kar and A. Lifschitz. Resonance instabilities of Riemann ellipsoids. Nonlinear Evolution Equations and Infinite-Dimensional Dynamical Systems. Proceeding, World Scietific Publishers, Singapore, 1997, 81-89 .
[59] A. Lifschitz and J.P. Goedbloed. Transonic magnetohydrodynamic flows. Journal of Plasma Physics (1997) 58, 61-99.
[60] R. Nijboer, A. Lifschitz and J.P. Goedbloed. Spectrum and stability of a rigidly rotating compressible plasma. Journal of Plasma Physics (1997) 58, 100-121.
[61] J.P. Goedbloed and A. Lifschitz. Stationary symmetric magnetohydrodynamic flows. Physics of Plasmas (1997) 4, 3544-3564.
[62] J.P. Goedbloed and A. Lifschitz. Critical issues in transonic magnetohydrodynamic flows. Fifth SOHO Workshop on The Corona and Solar Wind Near Minimum Activity. Proceedings, Oslo, 1997, 417-420.
[63] A. Lifschitz. On the spectrum of hyperbolic flows. Physics of Fluids (1997) 9, 2864-2871.
[64] T. Hyer, A. Lifschitz and D. Pugachevsky. Passport to success. Risk Magazine (1997) 10, n. 9, 127-131.
[65] T. Miyazaki and A. Lifschitz. Three-dimensional instabilities of inertial waves in rotating fluids. Journal of the Physical Society of Japan (1998) 67, 1226-1233.
[66] A. Lifschitz. A nonlinear spectral problem with periodic coefficients occurring in magnetohydrodynamic stability theory. The 1995 International Workshop on Operator Theory and Applications, R. Mennicken and C. Tretter, eds. Proceedings, Birkhauser, Boston, 1998, 97-117.
[67] B. Fabijonas and A. Lifschitz. Asymptotic analysis of secondary instabilities of rotating fluids. Z. Angew. Math. Mech. (1998) 78, 597-606.
[68] A. Lifschitz, T. Miyazaki and B. Fabijonas. A new class of instabilities of rotating flows. European Journal of Mechanics, B/Fluids (1998) 17, 605-613.
[69] T. Hyer, A. Lipton-Lifschitz and D. Pugachevsky. Passport to success. Hedging with Trees, M. Broadie and P. Glasserman, eds., Risk Publications, London, Risk Books, 1998, 49-56. (An extended version of [64].)
[70] R. Nijboer, J.P. Goedbloed and A. Lifschitz. The spectrum of MHD flows about X-points. Journal of Plasma Physics (1998) 60, part 2, 421-446.
[71] A. Lipton-Lifschitz. Predictability and unpredictability in financial markets. Physica D (1999) 133, 321-347.
[72] A. Lipton. Self-similarities and similarities of path-dependent options. Risk Magazine (1999) 12, n. 9, 101-105.
[73] M. Faierman, A. Lifschitz, R. Mennicken and M. Moeller. On the essential spectrum of a linearized Euler operator. Z. Angew. Math. Mech. (1999) 11, 739-755.
[74] P. Carr, A. Lipton and D. Madan. Going with the flow. Risk Magazine (2000) 13, n. 8, 85-89.
[75] A. Lipton. How to use self-similarities to discover similarities of path-dependent options. Quantitative Analysis in Financial Markets, vol. II, M. Avellaneda, ed., World Scientific, 2001, 317-334.
[76] P. Carr, A. Lipton and D. Madan. An alternative approach to valuing continuous cash flows. Quantitative Analysis in Financial Markets, vol. III, M. Avellaneda, ed., World Scientific, 2001, 110-130.
[77] C. Albanese, G. Campolieti, P. Carr and A. Lipton. Black-Scholes geos hypergeometric. Risk Magazine (2001) 14, n. 12, 99-103
[78] A. Lipton. The vol smile problem. Risk Magazine (2002) 15, n. 2, 61-65.
[79] A. Lipton and W. McGhee. Universal barriers. Risk Magazine (2002) 15, n. 5, 81-85.
[80] A. Lipton. On the log-log linearity of the size distribution for growth stocks. Risk Magazine (2002) 15, n. 7, 70.
[81] A. Lipton. Assets with jumps. Risk Magazine (2002) 15, n. 9, 149-153.
[82] S. Friedlander and A. Lipton-Lifschitz. Localized instabilities in fluids. Handbook of Mathematical Fluid Dynamics, vol. II, S.J. Friedlander and D. Serre, eds., Elsevier Science, 2003, 289-353.