附註:Includes bibliographical references (pages 647-668) and index.
Contents; Preface; Chapter 1 Foreign exchange markets; Chapter 2 Elements of probability theory; Chapter 3 Discrete-time stochastic engines; Chapter 4 Continuous-time stochastic engines; Chapter 5 Single-period markets; Chapter 6 Multi-period markets; Chapter 7 Stochastic dynamics of forex; Chapter 8 European options: the group-theoretical approach; Chapter 9 European options, the classical approach; Chapter 10 Deviations from the Black-Scholes paradigm I: nonconstant volatility; Chapter 11 American Options; Chapter 12 Path-dependent options I: barrier options.
Chapter 13 Path-dependent options II: lookback, Asian and other optionsChapter 14 Deviations from the Black-Scholes paradigm II: market frictions; Chapter 15 Future directions of research and conclusions; Bibliography; Index.
摘要: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, t.
