This book is devoted to some mathematical problems encountered by the author in his capacity as a mathematician turned financial engineer at Bankers Trust and Deutsche Bank. The exposition is restricted mainly to problems occurring in the foreign exchange (forex) context not only due to the fact that it is the author's current area of responsibility but also because mathematical methods of financial engineering can be described more vividly when the exposition is centered on a single topic.

Preface

I Introduction

II Mathematical preliminaries

III Discrete-time models

IV Continuous-time models

Bibliography

Index