Alex Lipton, who won Risk ’s Quant of the Year award in 2000, has left Credit Suisse First Boston after only nine months and joined Citadel Group, the Chicago-based hedge fund.At CSFB, Lipton was an equity derivatives product manager. Previous to that, he spent four years in foreign exchange development at Deutsche Bank, following the takeover of Bankers Trust, which Lipton joined from academia.
Lipton is well known to Risk readers as the author of technical papers on passport options, similarity methods, volatility models and most recently, jump-based credit derivatives pricing. In 2002 he edited a collection of technical papers on exotic options pricing published by Risk Books (www.riskbooks.com).
According to Citadel, Lipton will be part of the firm’s quantitative research group under the overall responsibility of Daniel LeVine. While confirming his job move, Lipton would not elaborate on his role at Citadel and referred enquiries to a spokesman.
But it is likely that Lipton’s option pricing skills will be deployed in capital structure arbitrage. The hedge fund is known to have hired a number of structured credit specialists recently, including well-known quant Vladimir Finkelstein, one of the architects of the CreditGrades equity-credit pricing methodology.
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