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

Alexander Lipton (Author)

Book Description

Publication Date: October 2001 | ISBN-10: 9810246153 | ISBN-13: 978-9810246150 | Edition: 1st

Presenting a systematic and practically oriented approach to mathematical modelling in finance, particularly in the foreign exchange context, this text 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.

Editorial Reviews

Review

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

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

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

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

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

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

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

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.

See all Editorial Reviews

Product Details

• Hardcover: 700 pages
• Publisher: World Scientific Publishing Company; 1st edition (October 2001)
• Language: English
• ISBN-10: 9810246153
• ISBN-13: 978-9810246150
• Product Dimensions: 8.7 x 6.5 x 1.6 inches
• Shipping Weight: 2.4 pounds
• Average Customer Review: 4.3 out of 5 stars  See all reviews (7 customer reviews)
• Amazon Best Sellers Rank: #2,157,244 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

19 of 20 people found the following review helpful:

5.0 out of 5 stars A Book That Was Long Overdue, May 14, 2002

By A Customer

This review is from: Mathematical Methods for Foreign Exchange: A Financial Engineer's Approach (Hardcover)

Most of the books on mathematical finance fall in one of the two domains. Some books are written for people who are new to the field and, as such, do not go deeply into the mathematical details that are crucial for implementing these methods in practice. The more advanced books are usually written by academic mathematicians and sometimes suffer from poor readability and lack of awareness of relevant problems. What many people are looking for is a detailed and readable description of how to apply the latest mathematical methods to solving the problems appearing in day-to-day work of derivatives desks. Such books are few and far between: that is why Alex Lipton's manuscript was so welcome.

As a quant in one of the Wall Street investment banks, I found this book a very valuable resource. Though written on a fairly high level, this book remains a readable and consistent exposition of latest methods of foreign exchange modeling. I particularly appreciated that the author does not skip steps in his derivations and gives out all those little practical details that are so important to people planning to use these methods in their work. The range of topics covered is fairly wide, with main emphasis on derivative pricing. I found the two chapters on path-dependent options to be particularly interesting and extensive. Some of the results included in the book came out of author's original work at Deutsche Bank. I also had an impression that some of his latest work was not included in the book, which is a pity.

All in all, an excellent book. Well worth the price.

38 of 45 people found the following review helpful:

5.0 out of 5 stars State of the Art, January 10, 2003

By 

Peter Carr (New York, NY United States) - See all my reviews

This review is from: Mathematical Methods for Foreign Exchange: A Financial Engineer's Approach (Hardcover)

I own pretty much all of the books on quantitative finance
and this one holds a cherished place on my bookshelf.
Anybody either working as a quant or with aspirations to become one should dust off some space on their bookshelf as well.
Anybody who does serious research in finance in either academia or industry already knows that it is somewhat rare for top researchers to pen books of any length. Time is at a premium and the payoff to publishing journal articles or to finishing off code is typically much greater than it is for writing books.

This is what distinguishes this book from its competitors.
The author is well known in financial circles as one of a handful of quants who is capable of meaningfully contributing new results to this fascinating field. The book contains many results which cannot be found elsewhere in the public domain.
Although the book title suggests that the results apply only to
foreign exchange, it is straightforward to adapt the results to

equities, commodities, and many other underlyings.

Wall Street is a very secretive place and it is not easy to get a glimpse of the kind of things that consume a quant's time.
I suspect that the only reason that this book was able to come to light is due to the acquisition of Banker's Trust, the author's former employer. Banker's was well known to be a fertile training ground for the best derivative minds and this book should prove to be a lasting legacy to that view.

15 of 17 people found the following review helpful:

5.0 out of 5 stars An excellent addition to any quants library, November 10, 2002

By A Customer

This review is from: Mathematical Methods For Foreign Exchange: A Financial Engineer's Approach (Paperback)

Alexander Lipton Lifschitz has brought his extensive
experience and years of research in the most diverse areas
of applied mathematics as well as his experience
in the financial industry to bear in authoring this
very interesting book.

The range of this book is impressive.
Although the author chose to focus on currency
options, his book really is a treatise on
a wide spectrum of problems and methodologies
which any quant wishing to tackle the
sophisticated world of option pricing at a high level
must master.

The author demonstrates his mastery of
the arsenal of the classic applied mathematician,
asymptotic analysis, self-similarity, Laplace
and Fourier transform, and uses these to give an
incisive analysis of both standard topics
such as American options and more exotic topics
such as options on one currency with
barriers on the other currency, passport
options (for which he was a pioneer in developping
pricing tools) , asian options and much much more.

No, this is not as easy a read as Willmott's
books. Willmott's books were and remain
an important contribution with their
quick and intuitive explanation of a variety
of instruments. Lipton- Lifschitz's
book is more challenging and the reader will
have to pull up his sleeves on
occasions where the author, while dealing
with a case analogous to one just treated
says " the details are left to the reader".
But let's face it, if you work on Wall Street
or nearby, you'll have to tackle those details
alone at some point and Lipton-Lifschitz
gives you all you need to know to do
pull this off.

And. last but not least, let's not forget the price. At less than 50$ thisbook is a real bargain and for a first
printing, unusually free of typos or others
errors.

I highly recommend you buy this book now before the publisher
doubles the price.