MATHEMATICAL METHODS FOR
FOREIGN EXCHANGE
A Financial Engineer's
Approach
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 ro 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.
About the Author
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
RISK Magazine
676 pages