MATHEMATICAL METHODS FOR FOREIGN EXCHANGE

Alexander Lipton, PhD, is a Director at Citadel Investment Group, LLC, and an Adjunct Professor of Mathematics at the University of Illinois. In addition to Mathematical Methods for Foreign Exchange, he is the author or editor of two other books, 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 from the magazine Risk.

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.

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.

“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.” (See Full Review)

Risk Magazine

“In his monumental book … Alexander Lipton presents us with a tour-de-force of maths for finance … Many of the ideas presented can be readily transposed to other markets, e.g., equities, commodities and interest rates …[T]he range of novel mathematical methods illustrated in the book is staggering … [T]here 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

“While the book's technical sophistication is very high, the aim is clearly to present practical results that can be applied in real markets. It is a book from which much can be learned, even by specialists in the derivatives field.”

Mathematical Reviews

“The book is a useful textbook for students … and a valuable reference book of the research work in financial engineering … The bibliography is exhaustive …”

Zentralblatt MATH

700pp		Pub. date: Oct 2001
ISBN: 978-981-02-4615-0 981-02-4615-3		US$95 / £77

700pp		Pub. date: Oct 2001
ISBN: 978-981-02-4823-9(pbk) 981-02-4823-7(pbk)		US$61 / £49

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