The Oxford Handbook of Credit Derivatives
Edited by Alexander Lipton and Andrew Rennie
Author Information
Alexander Lipton is a Managing Director and Co-Head of the Global Quantitative Group at Bank of America Merrill Lynch, and Visiting Professor of Mathematics at Imperial College. Prior to his current role, he was 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, he was a Full Professor of Mathematics at the University of Illinois, Chicago, and Consultant at Los Alamos National Laboratory. He received his undergraduate and graduate degrees from Moscow State University. Professor Lipton is author of two books and editor of three. He has published numerous research papers on hydrodynamics, magnetohydrodynamics, astrophysics, and financial engineering. He has delivered many invited lectures at leading universities and major conferences worldwide.
Andrew Rennie has spent sixteen years in finance, specialising in derivatives pricing and risk management. He has worked at UBS, Rabobank International, and Merrill Lynch, where he managed all quantitative and modelling activity in derivatives across fixed income, credit, foreign exchange, commodities, and equities globally. He retired from Merrill Lynch in 2009 to advise on pricing and risk issues to governments, regulators, banks, and hedge funds. He graduated with a First in Mathematics from Cambridge University and published papers in Mathematical Chemistry on the properties of one-dimensional inclusion compounds. He co-authored a textbook on derivative pricing- Financial Calculus- and has also co-edited Credit Correlation - Life after Copulas.
Contributors:
Edward I. Altman, New York University, USA
Elie Ayache, ITO 33, Paris, France
Alexander Batchvarov, Bank of America, Merrill Lynch, UK
Arthur M. Berd, Capital Fund Management, Paris, France and New York, USA
Tomasz R. Bielecki, Illinois Institute of Technology, USA
Valerie Chavez-Demoulin, Swiss Federal Institute of Technology, Lausanne, Switzerland
Stephane Crepey, Evry University, France
Mark H. A. Davis, Imperial College London, UK
Youssef Elouerkhaoui, Citigroup, London, UK
Paul Embrechts, ETH Zurich, Switzerland
Jon Gregory, Consultant, Ockham Financial Training, UK
Alexander Herbertsson, University of Gothenburg, Sweden
Vladimir Kamotski, Bank of America Merrill Lynch, London, UK
Alexander Levin, Andrew Davidson & Co., Inc. New York, USA
Alexander Lipton, Bank of America, Merrill Lynch, UK
Julian Manzano, Bank of America, Merrill Lynch, UK
Richard J. Martin, AHL, Man Group PLC., London, UK
Umberto Pesavento, Bank of America Merrill Lynch, London, UK
Andrew Rennie, Apollinax LLP, London, UK
Lutz Schloegl, Nomura International, London, UK
Artur Sepp, Bank of America Merrill Lynch in London, UK
David Shelton, Bank of America Merrill Lynch in London, UK
Gillian Tett, Financial Times, London, UK
Zhen Wei, Bank of America Merrill Lynch, Hong Kong