Items related to Foreign Exchange Risk: Models, Instruments and Strategies
Synopsis
Provides all the essential quantitative tools for foreign exchange options in an understandable and logical manner.
Covers the financial management of foreign exchange risk together with analysis of different methods for mitigating and controlling cross currency price differentials.
Shows how both market and model risk can be managed by choosing a suitable pricing model.
Presents products, pricing models, tools and strategies as well as numerical techniques for practical implementation.
Contains leading qualitative research concerned primarily with FX derivatives.
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Review
"Editors Halaka and Wystup have compiled 27 outstanding chapters by 23 authors. They have contributed significant content themselves and have done an excellent job promoting auniform style of writing across all chapters. The book offers easy reading with results that flow one after another.T his one book, in a nutshell, defines the state of the art." Glyn A. Holton, Contingency Analysis "Foreign Exchange Risk is written in a refreshingly fluid and accurate style, which is an achievement in itself as applied option theory is often a difficult topic to address. The twenty-seven chapters of this book will contribute toward a finer knowledge of this very specialised field, as well as provide some orientation in terms of future research to the reader. This book should be an asset to the market practitioner who has or intends to have dealings with the foreign exchange derivatives markets." Pierre Lequeux, Head of Currency Management,ABN AMRO Asset Management Ltd
About the Author
Jurgen Hakala has been head of quantitative research at Commerzbank Treasury and Financial Products for four years. His research areas are models and products for FX derivatives and hybrid interest rate and FX models. Computational finance is a central element for all his research. He received a Master's degree in theoretical physics from the University of Karlsruhe and a PhD in mathematics from the University of Bonn at the Institute for Neural Networks. Uwe Wystup is a quantitative research specialist at Commerzbank Treasury and Financial Products, Frankfurt and is a founder and manager of the website MathFinance and the MathFinance newsletter. Uwe has a PhD from Carnegie Mellon University in valuing exotic options under short selling restraints. He also lectures on mathematical finance for Goethe University in Frankfurt and organizes the Frankfurt MathFinance Colloquium. Before that he worked for Deutsche Bank, Citibank, UBS and Sal. Oppenheim jr. & Cie. Uwe has given many presentations at both universities and banks around the world.
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Foreign Exchange Risk: Models, Instruments and Strategies
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