Mathematical Methods for Foreign Exchange: A Financial Engineer's Approach
Mathematical Methods for Foreign Exchange: A Financial Engineer's Approach
in the light of a critical-historical analysis of the problems and of a synthesis of the results
Alexander Lipton · 2001 · World Scientific
This comprehensive work presents an advanced mathematical framework for pricing FX derivatives, focusing on stochastic models, partial differential equations (PDEs), and exotic option valuation. It is essential for practitioners seeking to deepen their understanding of financial engineering in foreign exchange markets.
- FX
- Quantitative finance
- Derivatives
- Risk management