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Description of Mathematical Methods for Foreign Exchange |
Presenting a systematic and practically oriented approach to mathematical modelling in finance, particularly in the foreign exchange context, this text 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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Reviews"The real strength of this book is in the variety of mathematical methods it introduces and the detailed and precise way the author demonstrates how they can be applied in the context of forex option pricing … The author should be congratulated for his thorough approach to this area, and not least for the comprehensive list of references to the outstanding literature."
- Risk, Apr 2002
"Lipton is clearly a master of the use of Fourier techniques, which are put to good use in a number of different contexts. Overall, the range of novel mathematical methods illustrated in the book is staggering. This is one of the book's key features … ‘Mathematical Methods for Foreign Exchange’ will prove to be sufficiently popular … there is much to gain from reading this book, whether one is interested in FX markets specifically or in financial engineering in general."
- GARP Risk Review, Jul/Aug 2002
"The book is a useful textbook for students of financial engineering and a valuable reference book of the research work in financial engineering and so it is expected to be self-contained in all respects. The bibliography is exhaustive and is suitable for those who desire to pursue their further studies in this branch of financial engineering."
- Mathematics Abstracts
| Contents of Mathematical Methods for Foreign Exchange |
- Introduction: Foreign Exchange Markets
- Mathematical Preliminaries: Elements of Probability Theory
- Discrete-Time Stochastic Engines
- Continuous-Time Stochastic Engines
- Discrete-Time Models: Single-Period Markets
- Multi-Period Markets
- Continuous-Time Models: Stochastic Dynamics of Forex
- European Options: The Group-Theoretical Approach
- European Options, the Classical Approach
- Deviations from the Black-Scholes Paradigm I: Nonconstant Volatility
- American Options
- Path-Dependent Options I: Barrier Options
- Path-Dependent Options II: Lookback, Asian and other Options
- Deviations from the Black-Scholes Paradigm II: Market
Frictions
- Future Directions of Research and Conclusions
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About Alexander Lipton |
Alexander Lipton, PhD, is a Director in the Global Foreign Exchange Division at Deutsche Bank and an Adjunct Professor of Mathematics at the University of Illinois. In addition to Mathematical Methods for Foreign Exchange, he is the author of one other book, as well as numerous research papers and technical reports on financial engineering and applied mathematics. In January 2000, Dr Lipton became the first recipient of the prestigious Quant of the Year Award by the Magazine Risk.
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