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Foreign Exchange Risk
The Debate on Foreign Exchange Hedging
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1pot asset at-the-money basket option binomial British pound BSGK cash flow central banks CM CM cost counterparty cross rates currency exposure currency futures currency futures contract currency hedging currency options currency returns dealer derivatives dollar/mark dollar/yen domestic currency early exercise equal equity European example Exhibit face amount foreign currency foreign exchange market foreign exchange risk forward contract forward exchange rate forward outright forward points futures contract gamma German mark implied volatility interest parity investment investor Japanese yen LIBOR long position loss million option price overlay overlay program Parameters payoff percent pips portfolio manager premium present value Put-call parity quotation quoted rency replication Reuters risk reversal sell settlement spot exchange rate spot level spot rate standard deviation strike swap tion trade U.S. dollar unhedged USD put/DEM call USD/DEM value date variation margin zero