Mathematical Methods for Foreign Exchange: A Financial Engineer's Approach

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. Alexander Lipton. Includes Bibliographical References (p. 647-668) And Index.