"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.
If you would like to request a review copy of Handbook of Exchange Rates contact Michelle Martella on mmartella@wiley.com or + 1-781-388-8577
About the Book:
Handbook of Exchange Rates
July 2012
$149.95 • £100 • €125
ISBN: 978-0-470-76883-9
Hardcover: 856 pages
Online and Electronic Editions Available
About the Editors:
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 Management, 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.
About Citi
Citi, the leading global bank, has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions. Citi provides consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services and wealth management.
Citi works tirelessly to serve individuals, communities, institutions and nations. With 200 years of experience meeting the world's toughest challenges and seizing its greatest opportunities, we strive to create the best outcomes for our clients and customers with financial solutions that are simple, creative and responsible. An institution connecting over 1,000 cities, 160 countries and millions of people, we are your global bank; we are Citi.
About Wiley
Founded in 1807, John Wiley & Sons, Inc. has been a valued source of information and understanding for more than 200 years, helping people around the world meet their needs and fulfill their aspirations. Since 1901, Wiley and its acquired companies have published the works of more than 400 Nobel laureates in all categories: Literature, Economics, Physiology/Medicine, Physics, Chemistry and Peace.
Wiley's core businesses include scientific, technical, medical and scholarly journals, encyclopedias, books and online products and services; professional/trade books, subscription products, training materials, online applications and Web sites; and educational materials for undergraduate and graduate students and lifelong learners. Wiley's global headquarters are located in Hoboken, N.J., with operations in the U.S., Europe, Asia, Canada and Australia. The company's Web site can be accessed at www.wiley.com. The company is listed on the New York Stock Exchange under the symbols JWa and JWb.