Mathematical Methods For Foreign Exchange

A Financial Engineer's Approach

By: Alexander Lipton

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Paperback | 16 October 2001

At a Glance

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700 Pages

Dimensions(cm)
21.9 x 16.4 x 3.7

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This comprehensive book presents a systematic and practically oriented approach to mathematical modeling in finance, particularly in the foreign exchange context. It describes all the relevant aspects of financial engineering, including derivative pricing, in detail. The book is self-contained, with the necessary mathematical, economic, and trading background carefully explained. In addition to the lucid treatment of the standard material, it describes many original results.The book can be used both as a text for students of financial engineering, and as a basic reference for risk managers, traders, and academics.

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You Can Find This Book In

Non-Fiction Economics Macroeconomics Monetary Economics International Economics International Finance Mathematics Applied Mathematics Business & Management Business Mathematics & Systems Accounting & Finance Finance

Insurance & Actuarial Studies Booktopia Publisher Services World Scientific Publishing Banking

Preface
Introduction	p. 1
Foreign exchange markets	p. 3
Mathematical preliminaries	p. 19
Elements of probability theory	p. 21
Discrete-time stochastic engines	p. 43
Continuous-time stochastic engines	p. 59
Discrete-time models	p. 119
Single-period markets	p. 121
Multi-period markets	p. 171
Continuous-time models	p. 213
Stochastic dynamics of forex	p. 215
European options: the group-theoretical approach	p. 239
European options, the classical approach	p. 293
Deviations from the Black-Scholes paradigm I: nonconstant volatility	p. 319
American Options	p. 405
Path-dependent options I: barrier options	p. 451
Path-dependent options II: lookback, Asian and other options	p. 527
Deviations from the Black-Scholes paradigm II: market frictions	p. 617
Future directions of research and conclusions	p. 645
Bibliography	p. 647
Index	p. 669
Table of Contents provided by Blackwell. All Rights Reserved.

Mathematical Methods For Foreign Exchange

A Financial Engineer's Approach

At a Glance

Paperback

Shipping

How to return your order

Defective items

You Can Find This Book In

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