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Handbook of Exchange Rates

Jessica James (Editor), Ian Marsh (Editor), Lucio Sarno (Editor)
ISBN: 978-0-470-76883-9
856 pages
July 2012
US $154.95 Add to Cart

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July 09, 2012

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 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.