Overview

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.

Full Product Details

Author:   Alexander Lipton (Abu Dhabi Investment Authority, Uae & The Hebrew Univ Of Jerusalem, Israel)
Publisher:   World Scientific Publishing Co Pte Ltd
Imprint:   World Scientific Publishing Co Pte Ltd
Dimensions:   Width: 15.50cm , Height: 3.50cm , Length: 23.00cm
Weight:   0.975kg
ISBN:  

9789810248239

ISBN 10:   9810248237
Pages:   700
Publication Date:   16 October 2001
Audience:   College/higher education ,  Professional and scholarly ,  Professional and scholarly ,  Undergraduate ,  Postgraduate, Research & Scholarly
Format:   Paperback
Publisher's Status:   Active
Availability:   Awaiting stock  
The supplier is currently out of stock of this item. It will be ordered for you and placed on backorder. Once it does come back in stock, we will ship it out for you.

Table of 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.

Reviews

Author Information

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.

Tab Content 6

Author Website:  

Customer Reviews

Recent Reviews

No review item found!

Add your own review!

Countries Available

All regions