Mathematical Methods For Foreign Exchange: A Financial Engineer's Approach
A Financial Engineer's Approach
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.
Contents: 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.
Readership: Financial engineering students, risk managers, traders and academics.
Title: Mathematical Methods For Foreign Exchange: A Financial Engineer's Approach
Author: A Lipton