Book description
Praise for Handbook of Exchange Rates
“This book is remarkable. I expect it to become the anchor
reference for people working in the foreign exchange field.”
-Richard K. Lyons, Dean and Professor of Finance,
Haas School of Business, University of California Berkeley
“It is quite easily the most wide ranging treaty of expertise on the
forex market I have ever come across. I will be keeping a copy close
to my fingertips.”
-Jim O'Neill, Chairman, Goldman Sachs Asset Management
How should we evaluate the forecasting power of models? What are
appropriate loss functions for major market participants? Is the
exchange rate the only means of adjustment? Handbook of Exchange
Rates answers these questions and many more, equipping readers
with the relevant concepts and policies for working in today's
international economic climate.
Featuring contributions written by leading specialists from the
global financial arena, this handbook provides a collection of
original ideas on foreign exchange (FX) rates in four succinct sections:
• Overview introduces the history of the FX market and
exchange rate regimes, discussing key instruments in the trading
environment as well as macro and micro approaches to FX determination.
• Exchange Rate Models and Methods focuses on forecasting
exchange rates, featuring methodological contributions on the
statistical methods for evaluating forecast performance, parity
relationships, fair value models, and flow-based models.
• FX Markets and Products outlines active currency management,
currency hedging, hedge accounting; high frequency and algorithmic
trading in FX; and FX strategy-based products.
• FX Markets and Policy explores the current policies in place
in global markets and presents a framework for analyzing financial crises.
Throughout the book, topics are explored in-depth alongside their
founding principles. Each chapter uses real-world examples from the
financial industry and concludes with a summary that outlines key
points and concepts.
Handbook of Exchange Rates is an essential reference for fund
managers and investors as well as practitioners and researchers
working in finance, banking, business, and econometrics. The book also
serves as a valuable supplement for courses on economics, business,
and international finance at the upper-undergraduate and graduate levels.
JESSICA JAMES, PhD, is a Managing Director and Co-Head of the
Quantitative Solution Team at Commerzbank in London, where she is
responsible for FX client risk advisory. She has published on the
topics of credit derivatives and total return swaps and is the
coauthor of Interest Rate Modelling (Wiley).
IAN W. MARSH, PhD, is Professor of Finance in the Cass Business
School at City University London. Dr. Marsh has extensive consulting
experience with companies including JPMorgan Chase, Morley Fund
Managment, and the Royal Bank of Scotland. He currently focuses his
research on credit risk transfer markets and the foreign exchange market.
LUCIO SARNO, PhD, is Associate Dean, Head of Faculty, and
Professor of Finance in the Cass Business School at City University
London. Dr. Sarno has extensive industry experience in consulting and
trading foreign exchange for several major asset management companies
and has contributed to policy, training, and research for the
International Monetary Fund, the European Central Bank, and the World
Bank.
