Managing Foreign Exchange Risk: Advanced Strategies for Global Investors, Corporations, and Financial InstitutionsThis is an expanded and enhanced edition of the popular Managing Foreign Exchange Risk which first appeared in 1990. Students of finance, traders, institutional investors and corporate treasurers commend the book for its even balance between theory and applications. Practitioners praise its clear explanation of currency derivatives theory. Students of finance appreciate that the book is infused with actual foreign exchange market conventions and real-world numerical examples. This second edition has been greatly expanded with materials on the mechanics of the foreign exchange and options markets. The sections on the international monetary system have been updated, especially with respect to the European monetary system. New sections have been added on exotic currency options, specifically on barriers, average rate, basket and quantos options. There are two new chapters, one on currency option applications and another on currency overlay management. |
Contents
Introduction | 1 |
Chapter | 4 |
Foreign Exchange and Related Derivative Instruments | 8 |
Copyright | |
24 other sections not shown
Common terms and phrases
asset at-the-money basket hedge basket option binomial British pound BSGK cash flow central banks Chicago Mercantile counterparty currency exposure currency futures currency futures contract currency hedging currency options currency returns dealer derivatives dollar/mark dollar/yen domestic currency equal equity European example Exhibit face amount foreign currency foreign exchange market foreign exchange risk forward contract forward exchange rate forward outright forward points French franc futures contract futures options gamma GBP/USD German mark implied volatility interest parity interest rate investment investor Japanese yen LIBOR loss million option price overlay overlay program Parameters payoff percent pips portfolio manager premium present value Put-call parity quotation quoted Realignment rency Reuters risk reversal sell settlement spot exchange rate spot level spot rate standard deviation strike swap tion trading U.S. dollar unhedged United USD call/DEM put USD put/DEM call USD/DEM USD/JPY value date variation margin zero