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The Resource Mathematical methods for foreign exchange : a financial engineer's approach, Alexander Lipton

Mathematical methods for foreign exchange : a financial engineer's approach, Alexander Lipton

Label
Mathematical methods for foreign exchange : a financial engineer's approach
Title
Mathematical methods for foreign exchange
Title remainder
a financial engineer's approach
Statement of responsibility
Alexander Lipton
Creator
Subject
Language
eng
Summary
"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."--Publisher's description
Cataloging source
FGA
http://library.link/vocab/creatorName
Lipton, Alexander
Illustrations
illustrations
Index
index present
LC call number
HG3823
LC item number
.L57 2001
Literary form
non fiction
http://library.link/vocab/subjectName
  • Foreign exchange
  • Financial engineering
Label
Mathematical methods for foreign exchange : a financial engineer's approach, Alexander Lipton
Instantiates
Publication
Bibliography note
Includes bibliographical references (p. 647-668) and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Part I. Introduction: -- 1. Foreign exchange markets -- Part II. Mathematical preliminaries: -- 2. Elements of probability theory -- 3. Discrete-time stochastic engines -- 4. Continuous-time stochastic engines -- Part III. Discrete-time models: -- 5. Single-period markets -- 6. Multi-period markets -- Part 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
Control code
982002277000
Dimensions
23 cm.
Extent
xxii, 676 p
Isbn
9789810248239
Lccn
2002277000
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
Other physical details
ill
Label
Mathematical methods for foreign exchange : a financial engineer's approach, Alexander Lipton
Publication
Bibliography note
Includes bibliographical references (p. 647-668) and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Part I. Introduction: -- 1. Foreign exchange markets -- Part II. Mathematical preliminaries: -- 2. Elements of probability theory -- 3. Discrete-time stochastic engines -- 4. Continuous-time stochastic engines -- Part III. Discrete-time models: -- 5. Single-period markets -- 6. Multi-period markets -- Part 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
Control code
982002277000
Dimensions
23 cm.
Extent
xxii, 676 p
Isbn
9789810248239
Lccn
2002277000
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
Other physical details
ill

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