Mathematical Methods for Foreign Exchange

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 MarketsMathematical Preliminaries:Elements of Probability TheoryDiscrete-Time Stochastic EnginesContinuous-Time Stochastic EnginesDiscrete-Time Models:Single-Period MarketsMulti-Period MarketsContinuous-Time Models:Stochastic Dynamics of ForexEuropean Options: The Group-Theoretical ApproachEuropean Options, the Classical ApproachDeviations from the Black-Scholes Paradigm I: Nonconstant VolatilityAmerican OptionsPath-Dependent Options I: Barrier OptionsPath-Dependent Options II: Lookback, Asian and other OptionsDeviations from the Black-Scholes Paradigm II: Market FrictionsFuture Directions of Research and Conclusions
Readership: Financial engineering students, risk managers, traders and academics.