"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 and equips readers with the relevant
concepts and policies for working in today's international economic
climate.
Handbook
of Exchange Rates has been sponsored by Citi. Citi
has always sought to bring to market the best ideas based on the deepest
of insights; a virtue that this Handbook most definitely shares.
With market volume of $4 trillion a day, the foreign exchange market has
truly come of age. Though it is the largest of the global markets, it
nevertheless retains immense growth potential. Its recent rapid
evolution into an asset class in its own right means that its importance
is only expected to rise.
The Handbook of Exchange Rates joins Wiley’s new series of
handbooks in Financial Engineering and Econometrics (Ruey Tsay, The
University of Chicago Booth School of Business, advisor), which can be
viewed in full at www.wiley.com/go/handbookseries
.
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.
