Mathematical Methods For Foreign Exchange A Financial Engineer is Approach 1st edition by Alexander Lipton – Ebook PDF Instant Download/Delivery:9789810246150, 9810246153
Product details:
ISBN 10: 9810246153
ISBN 13: 9789810246150
Author: Alexander Lipton
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.
Table of contents:
I. Introduction
1. Foreign exchange markets
II. Mathematical preliminaries
2. Elements of probability theory
3. Discrete-time stochastic engines
4. Continuous-time stochastic engines
III. Discrete-time models
5. Single-period markets
6. Multi-period markets
IV. Continuous-time models
7. Stochastic dynamics of forex
8. European options: the group-theoretical approach
9. European options, the classical approach
10. Deviations from the Black-Scholes paradigm I: nonconstant volatility
11. American Options
12. Path-dependent options I: barrier options
13. Path-dependent options II: lookback, Asian and other options
14. Deviations from the Black-Scholes paradigm II: market frictions
15. Future directions of research and conclusions
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