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

Risk, April 2002 Vol 15 / No. 4
The author should be congratulated for his thorough approach to this area and the comprehensive list of reference.

Risk, April 2002
"The author should be congratulated for his thorough approach to this area..."

GARP Risk Review, Jul/Aug 2002
there is much to gain from reading this book, whether one is interested in FX markets or in financial engineering

GARP Risk Review, Jul/Aug 2002
...there is much to gain from reading this book, whether one is interested in FX markets or financial engineering.

Professor Brian Sutchliffe, Universite Libre de Vryxekkes
It's a book that one would happily recommend to any capable student, confident that it is clear, comprehensible and accurate.

Mathematics Abstracts
...a useful textbook for students of financial engineering and valuable reference book of the research work in financial engineering.

Mathematical Reviews, 2003
"It is a book from which much can be learned, even by specialists in the derivatives field."

Book Description
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.

From the Publisher
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.

About the Author
Alexander Lipton, PhD, is a Director in the Global Modelling and Analytics Group at Credit Suisse First Boston and an Adjunct Professor of Mathematics at the University of Illinois. In addition to Mathematical Methods for Foreign Exchange, he is the author of one other book, as well as numerous research papers and technical reports on financial engineering and applied mathematics. In January 2000, Dr Lipton became the first recipient of the prestigious Quant of the Year Award by the Magazine Risk.


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Lipton engages some mathematical problems he has encountered as a mathematician turned financial engineer at Banker's Trust and Deutsche Bank. The topics are mostly concerned with foreign exchange, both because that is his current area of responsibility and to focus the explanation of methods by discussing only a narrow set of problems. The treatise can be used as a textbook for a financial engineering course or as a basic reference for risk managers, traders, and academics. Annotation c. Book News, Inc., Portland, OR (booknews.com)


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