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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.
Table of Contents
|Foreign Exchange Market Structure, Players and Evolution||p. 1|
|Macro Approaches to Foreign Exchange Determination||p. 49|
|Micro Approaches to Foreign Exchange Determination||p. 79|
|The Exchange Rate in a Behavioural Finance Framework||p. 119|
|The Evolution of Exchange Rate Regimes and Some Future Perspective||p. 145|
|. Exchange Rate Models and Methods|
|Purchasing Power Parity in Economic History||p. 175|
|Purchasing Power Parity in Tradable Goods||p. 203|
|Statistical and Economic Methods for Evaluating Exchange Rate Predictability||p. 239|
|When Are Pooled Panel-Data Regression Forecasts of Exchange Rates More Accurate than the Time-Series Regression Forecasts?||p. 283|
|Carry Trades and Risk||p. 301|
|Currency Fair Value Models||p. 335|
|Technical Analysis in the Foreign Exchange Market||p. 369|
|Modeling Exchange Rates with Incomplete Information||p. 403|
|Exchange Rates in a Stochastic Discount Factor Framework||p. 421|
|Volatility and Correlation Timing in Active Currency Management||p. 453|
|. FX Markets and Products|
|Is There a Premium for Currency Investing (Beta)||p. 485|
|Is There Skill or Alpha in Currency Investing?||p. 509|
|Currency Hedging for International Bond and Equity Investors||p. 539|
|FX Reserve Management||p. 577|
|High frequency finance: Using scaling laws to build trading models||p. 597|
|Algorithmic Execution in Foreign Exchange||p. 621|
|Foreign Exchange Strategy Based Products||p. 635|
|Foreign exchange futures, forwards and swaps||p. 661|
|Options and Volatility Derivatives||p. 687|
|FX Markets and Policy|
|A Common Framework for Thinking about Currency Crises||p. 741|
|Official Intervention in the Foreign Exchange Market||p. 763|
|Exchange Rate Misalignment - The Case of the Chinese Renminbi||p. 797|
|Table of Contents provided by Publisher. All Rights Reserved.|