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Physics and Derivatives: On Three Important Problems in Mathematical Finance

Alexander Lipton and Vadim Kaushansky
The Journal of Derivatives Special Issue 2020, jod.2020.1.098; DOI: https://doi.org/10.3905/jod.2020.1.098
Alexander Lipton
is chief technical officer at SilaMoney in Portland, OR, visiting professor and Dean’s Fellow in The Jerusalem School of Business Administration at The Hebrew University of Jerusalem, Israel, and a Fellow in Connection Science and Engineering at Massachusetts Institute of Technology in Cambridge MA
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Vadim Kaushansky
is an assistant adjunct professor in the Department of Mathematics at the University of California in Los Angeles, CA
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jod.2020.1.098
DOI 
https://doi.org/10.3905/jod.2020.1.098

Published By 
Pageant Media Ltd
Print ISSN 
1074-1240
Online ISSN 
2168-8524
History 
  • Published online February 21, 2020.

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  • Latest version (February 20, 2020 - 03:33).
  • You are currently viewing a Latest version of this article (February 21, 2020 - 05:01).
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© 2020 Pageant Media Ltd

Author Information

  1. Alexander Lipton
    1. is chief technical officer at SilaMoney in Portland, OR, visiting professor and Dean’s Fellow in The Jerusalem School of Business Administration at The Hebrew University of Jerusalem, Israel, and a Fellow in Connection Science and Engineering at Massachusetts Institute of Technology in Cambridge MA. (alexlipt{at}mit.edu)
  2. Vadim Kaushansky
    1. is an assistant adjunct professor in the Department of Mathematics at the University of California in Los Angeles, CA. (kaushansky{at}math.ucla.edu)
  1. To order reprints of this article, please contact David Rowe at d.rowe{at}pageantmedia.com or 646-891-2157.
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The Journal of Derivatives: 29 (3)
The Journal of Derivatives
Vol. 29, Issue 3
Spring 2022
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Physics and Derivatives: On Three Important Problems in Mathematical Finance
Alexander Lipton, Vadim Kaushansky
The Journal of Derivatives Feb 2020, jod.2020.1.098; DOI: 10.3905/jod.2020.1.098

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Physics and Derivatives: On Three Important Problems in Mathematical Finance
Alexander Lipton, Vadim Kaushansky
The Journal of Derivatives Feb 2020, jod.2020.1.098; DOI: 10.3905/jod.2020.1.098
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  • Article
    • Abstract
    • The American Put Option
    • The Structural Default Problem
    • First Time Hitting of an Ornstein–Uhlenbeck Process
    • Article Structure
    • THE METHOD OF HEAT POTENTIALS
    • THE AMERICAN PUT OPTION
    • THE STRUCTURAL DEFAULT PROBLEM
    • FIRST HITTING TIME DENSITY FOR AN ORNSTEIN–UHLENBECK PROCESS
    • CONCLUSION
    • ADDITIONAL READING
    • ACKNOWLEDGMENT
    • APPENDIX A
    • ENDNOTES
    • REFERENCES
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