Handbook of Exchange Rates - (Wiley Handbooks in Financial Engineering and Econometrics) by Jessica James & Ian Marsh & Lucio Sarno (Hardcover)

About the Book

"Handbook of Exchange Rates is an impressive compilation of research from more than thirty-five leading researchers and experts on the topic. The book is clearly organized into five succinct sections that explore the foreign exchange (FX) market, from its background and economic foundation to current practices, obstacles, and policies in the modern foreign exchange market. Part I presents an overview of the history of the FX market and exchange rate regimes, the key instruments/players in the FX trading environment, and both macro and micro approaches to FX determination. Next, Part II focuses on forecasting exchange rates, featuring methodological contributions on the sstatistical methods for evaluating forecast performance, parity relationships, fair value models, and flow-based models. Part III treats FX as an asset class, outlining active currency management, currency hedging, hedge accounting, high frequency and algorithmic trading in FX, and FX strategy-based products. Part IV discusses products and pricing in FX, the FX options market, and volatility derivatives. Finally, the book concludes with a section on FX markets and policy, prediction and management of FX crises, FX regimes and policy; regulation in FX market that also features discussion of the effects of exchange rate regime choice on international trade. Each chapter follows the same easy-to-follow format. Following an introduction, a description of theory is presented along with key formulae. Next, the discussed theory is applied to a real data set and accompanied with illustrative descriptions. Exercises and real-world examples from the finance industry are spread throughout each chapter, and a summary provides a brief overview of main points and concepts"--

Book Synopsis

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.

From the Back Cover

"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.

About the Author

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.