Currency Options And Exchange Rate Economics

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Currency Options and Exchange Rate Economics

Zhaohui Chen
Currency Options and Exchange Rate Economics Book PDF

Author : Zhaohui Chen
Publisher : World Scientific
Page : 220 pages
File Size : 40,6 Mb
Release : 1998-04-21
Category : Business & Economics
ISBN : 9789814499163

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Currency Options and Exchange Rate Economics by Zhaohui Chen Pdf

This volume is a collection of classical and recent empirical studies of currency options and their implications for issues of exchange rate economics, such as exchange rate risk premium, volatility, market expectations, and credibility of exchange rate regimes. It contains applications on how to extract useful information from option market data for financial forecasting policy purposes. The subjects are discussed in a self-contained, user-friendly format, with introductory chapters on currency option theory and currency option markets. The book can be used as supplementary reading for graduate finance and international economics courses, as training material for central bank and regulatory authorities, or as a reference book for financial analysts. Contents:Learning from Currency Option Markets: An Overview (Z-H Chen)An Introduction to Option Pricing Theory (P G Zhang)An Introduction to Currency Option Markets (A M Malz)The Implied Volatility in Prices of Foreign Currency Options (L O Scott)Learning from the Term Structure of Implied Volatility in Foreign Exchange Options (J M Campa & P H K Chang)Options and the Currency Risk Premium (R K Lyons)Option Prices and the Probability Distribution of Exchange Rates (A M Malz)The ERM Realignment Probabilities: Estimates Using Option Prices (A M Malz)Options on Exchange Rates in Target Zones (J M Campa & P H K Chang)Inferring Market Expectations Using Currency Option Price and Volume Data (Z-H Chen & C A E Goodhart) Readership: Graduate students in economics & finance, academic researchers, central bank staff and private industry financiers. keywords:

The Economics of Foreign Exchange and Global Finance

Peijie Wang
The Economics of Foreign Exchange and Global Finance Book PDF

Author : Peijie Wang
Publisher : Springer Science & Business Media
Page : 376 pages
File Size : 46,6 Mb
Release : 2005
Category : Business & Economics
ISBN : 354021237X

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The Economics of Foreign Exchange and Global Finance by Peijie Wang Pdf

The book presents all major subjects in international monetary theory, foreign exchange markets, international financial management and investment analysis. The book is relevant to real world problems in the sense that it provides guidance on how to solve policy issues as well as practical management tasks. This in turn helps the reader to gain an understanding of the theory and refines the framework. Various topics are interlinked so the book adopts a systematic treatment of integrated materials relating different theories under various circumstances and combining theory with practice. The text examines issues in international monetary policy and financial management in a practical way, focusing on the identification of the factors and players in foreign exchange markets and the international finance arena. The book can be used in graduate and advanced undergraduate programmes in international or global finance, international monetary economics, and international financial management.

Exchange Rates and International Financial Economics

J. Kallianiotis
Exchange Rates and International Financial Economics Book PDF

Author : J. Kallianiotis
Publisher : Springer
Page : 289 pages
File Size : 50,7 Mb
Release : 2013-10-02
Category : Business & Economics
ISBN : 9781137318886

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Exchange Rates and International Financial Economics by J. Kallianiotis Pdf

The recent financial crisis has troubled the US, Europe, and beyond, and is indicative of the integrated world in which we live. Today, transactions take place with the use of foreign currencies, and their values affect the nations' economies and their citizens' welfare. Exchange Rates and International Financial Economics provides readers with the historic, theoretical, and practical knowledge of these relative prices among currencies. While much of the previous work on the topic has been simply descriptive or theoretical, Kallianiotis gives a unique and intimate understanding of international exchange rates and their place in an increasingly globalized world.

Currency Option Pricing in Credible Target Zones

Bernard Dumas,Lars Peter Jennergren,Bertil Näslund
Currency Option Pricing in Credible Target Zones Book PDF

Author : Bernard Dumas,Lars Peter Jennergren,Bertil Näslund
Publisher : Unknown
Page : 32 pages
File Size : 54,7 Mb
Release : 1993
Category : Currency convertibility
ISBN : UCSD:31822016754392

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Currency Option Pricing in Credible Target Zones by Bernard Dumas,Lars Peter Jennergren,Bertil Näslund Pdf

This paper develops a model for valuing options on a currency which is maintained within a band. The starting point of our model is the well known Krugman model for exchange-rate behavior within a target zone. Results from model runs provide insight into evidence reported by other authors of mispricing of currency options by extensions of the Black-Scholes model.

Currency Options and Exchange Rate Economics

Zhaohui Chen
Currency Options and Exchange Rate Economics Book PDF

Author : Zhaohui Chen
Publisher : World Scientific
Page : 224 pages
File Size : 54,9 Mb
Release : 1998
Category : Business & Economics
ISBN : 9810226195

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Currency Options and Exchange Rate Economics by Zhaohui Chen Pdf

This volume is a collection of classical and recent empirical studies of currency options and their implications for issues of exchange rate economics, such as exchange rate risk premium, volatility, market expectations, and credibility of exchange rate regimes. It contains applications on how to extract useful information from option market data for financial forecasting policy purposes. The subjects are discussed in a self-contained, user-friendly format, with introductory chapters on currency option theory and currency option markets. The book can be used as supplementary reading for graduate finance and international economics courses, as training material for central bank and regulatory authorities, or as a reference book for financial analysts.

Noise Trading, Central Bank Interventions, and the Informational Content of Foreign Currency Options

Christian Pierdzioch
Noise Trading Central Bank Interventions and the Informational Content of Foreign Currency Options Book PDF

Author : Christian Pierdzioch
Publisher : Springer Science & Business Media
Page : 232 pages
File Size : 43,5 Mb
Release : 2001-12-06
Category : Business & Economics
ISBN : 3540427457

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Noise Trading, Central Bank Interventions, and the Informational Content of Foreign Currency Options by Christian Pierdzioch Pdf

A flexible instrument to insure against adverse exchange rate movements are options on foreign currency. Often a relatively simple foreign currency option valuation model is used to address issues related to the pricing and hedging of such options. The results of many empirical studies document that real-world foreign currency option premia deviate from those predicted by the baseline model. In the first part of the book, it is shown that a noise trader model can help to explain the observed mispricing of the baseline foreign currency option pricing model. In the second part of the book, it is studied how policymakers can exploit the pricing errors of the baseline model. In particular, it is examined how option pricing theory can be applied to assess the effectiveness of central bank interventions in the foreign exchange market. To this end, a model is constructed to analyze the effectiveness of the interventions conducted by the Deutsche Bundesbank during the Louvre period.

Options on Foreign Exchange

David F. DeRosa
Options on Foreign Exchange Book PDF

Author : David F. DeRosa
Publisher : John Wiley & Sons
Page : 256 pages
File Size : 50,9 Mb
Release : 2000-01-18
Category : Business & Economics
ISBN : 0471316415

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Options on Foreign Exchange by David F. DeRosa Pdf

Your A to Z Guide to the World's Largest Option Market "A clearly written manual that flows smoothly. Whether you have 20 years of experience in the FX options markets or none, you will learn something interesting from reading this book. Highly recommended for both traders and non-traders." * Adam Kreysar, Global Head FX Options Warburg Dillon Read "DeRosa presents technical material with a minimum of technical fuss. Filtered through his scholarship and practical trading experience, up-to-date topics such as exotic options, forward volatilities, and the volatility smile become accessible. The book will be extremely useful to asset managers and risk managers." * Allan M. Malz, Partner The RiskMetrics Group "This new edition of Options on Foreign Exchange provides an exhaustive review of the literature on currency options, in addition to covering the practical aspects of the business. It is greatly pedagogical and well written-as can be expected from David DeRosa." * Nassim Taleb, President Empirica Capital LLC

The Economics of Exchange Rates

Lucio Sarno,Mark P. Taylor
The Economics of Exchange Rates Book PDF

Author : Lucio Sarno,Mark P. Taylor
Publisher : Cambridge University Press
Page : 330 pages
File Size : 46,5 Mb
Release : 2003-01-09
Category : Business & Economics
ISBN : 9781139435048

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The Economics of Exchange Rates by Lucio Sarno,Mark P. Taylor Pdf

In the last few decades exchange rate economics has seen a number of developments, with substantial contributions to both the theory and empirics of exchange rate determination. Important developments in econometrics and the increasingly large availability of high-quality data have also been responsible for stimulating the large amount of empirical work on exchange rates in this period. Nonetheless, while our understanding of exchange rates has significantly improved, a number of challenges and open questions remain in the exchange rate debate, enhanced by events including the launch of the Euro and the large number of recent currency crises. This volume provides a selective coverage of the literature on exchange rates, focusing on developments from within the last fifteen years. Clear explanations of theories are offered, alongside an appraisal of the literature and suggestions for further research and analysis.

How Companies Use Currency Options in Risk Management

Tuan Tran
How Companies Use Currency Options in Risk Management Book PDF

Author : Tuan Tran
Publisher : GRIN Verlag
Page : 17 pages
File Size : 55,9 Mb
Release : 2015-04-21
Category : Business & Economics
ISBN : 9783656948179

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How Companies Use Currency Options in Risk Management by Tuan Tran Pdf

Essay from the year 2015 in the subject Business economics - Investment and Finance, grade: 77.00, University of Westminster, course: Finance and Accounting, language: English, abstract: This article summarizes the motivations behind the reason why many corporates use (currency) options for risk management. Firstly, the paper would generalize the term of Financial Derivatives and how they benefit investors. Furthermore, it review a great deal of previous scholar works done on the field of risk management by corporates and on general options. In addition, the following case study of the company named ABC using a protective put strategy in order to hedge its investment in BCA is explored in both situation of increase and decrease in share price in order to understand how companies manage risks. Even though options can be an effective tool that helps companies be successful in grow their firm values options can also become worthless due to a minor modification of share price.

Exchange Rate Regimes for Emerging Markets

John Williamson
Exchange Rate Regimes for Emerging Markets Book PDF

Author : John Williamson
Publisher : Peterson Institute
Page : 110 pages
File Size : 52,9 Mb
Release : 2000
Category : Business & Economics
ISBN : 0881322938

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Exchange Rate Regimes for Emerging Markets by John Williamson Pdf

In the aftermath of the Asian/global financial crises of 1997-98, how should emerging markets now structure their exchange rate systems to prevent new crises from occurring? This study challenges current orthodoxy by advocating the revival of intermediate exchange rate regimes. In so doing, Williamson presents a reasoned challenge to the new prevailing attitude which claims that all countries involved in the international capital markets need to polarize to one of the extreme regimes (to a fixed rate with either a currency board or dollarization, or to a lightly-managed float). He concludes that although there is some truth in the allegation that intermediate regimes are vulnerable to speculative crises, they still offer offsetting advantages. He also contends that it would be possible to redesign them to be more flexible so as to reduce their vulnerability to crises.

The Exchange Rate System

John Williamson
The Exchange Rate System Book PDF

Author : John Williamson
Publisher : Unknown
Page : 110 pages
File Size : 48,7 Mb
Release : 1983
Category : Business & Economics
ISBN : STANFORD:36105037612285

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The Exchange Rate System by John Williamson Pdf

Now available directly from: IIE 11 Dupont Circle, NW Washington, DC 20036 Tel: (202) 328-9000 This book examines the system of flexible exchange rates, estimating misalignments of major currencies and analyzing costs and benefits of volatility and deviations from equilibrium. It considers target zones, reference rates, and other alternatives for stabilizing the system.

Currency Derivatives

David F. DeRosa
Currency Derivatives Book PDF

Author : David F. DeRosa
Publisher : John Wiley & Sons
Page : 414 pages
File Size : 46,8 Mb
Release : 1998-09-07
Category : Business & Economics
ISBN : 0471252670

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Currency Derivatives by David F. DeRosa Pdf

Mit über einer Billion US Dollar Umsatz stellt der Devisenhandel weltweit den größten Markt dar. In diesem Markt sind Währungsderivate zu einem bevorzugten Handelsinstrument geworden, das von Großbanken, Brokerhäusern, Hedge Funds (spekulativ ausgerichteter Fonds, der mit Hilfe von Derivaten seine Gewinne zu optimieren versucht) und Handelsberatern eingesetzt wird. Zwar sind diese Instrumente heute komplexer denn je, aber sie sind ein unverzichtbares Mittel des Risikomanagements im Devisenhandel. Herausgegeben von führenden Devisenhändlern und Analysten, ist dieses Buch Basislektüre für jeden, der sich in diesem Bereich bewegt. Eine Sammlung der 20 besten und meist zitierten Beiträge zu Währungsderivaten, Preistheorie und Anwendungen von Hedging-Methoden (10/98)

Studies in Foreign Exchange Economics

Martin D D Evans
Studies in Foreign Exchange Economics Book PDF

Author : Martin D D Evans
Publisher : World Scientific Publishing Company
Page : 791 pages
File Size : 40,8 Mb
Release : 2017-06-28
Category : Business & Economics
ISBN : 9789813148543

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Studies in Foreign Exchange Economics by Martin D D Evans Pdf

This book collects my scholarly research on the behavior of foreign exchange rates conducted over the past twenty-five years. The collection includes papers that study the behavior of exchange rates from the traditional macroeconomic and newer microstructure perspectives. The former perspective considers the linkages between the macro economy and currency prices in an effort to understand the behavior of exchange rates over quarters, years and decades. By contrast, the microstructure perspective considers how the details of currency trading affect how macroeconomic information becomes embedded in currency prices, a process which drives exchange-rates over intraday horizons. The book also contains papers with a hybrid perspective that consider the details of currency trading and macroeconomic linkages in an effort to understand exchange-rate dynamics across all horizons.

Exchange Rates and International Finance

Laurence S. Copeland
Exchange Rates and International Finance Book PDF

Author : Laurence S. Copeland
Publisher : Addison Wesley Publishing Company
Page : 392 pages
File Size : 40,7 Mb
Release : 1989
Category : Foreign exchange
ISBN : UCSD:31822003786373

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Exchange Rates and International Finance by Laurence S. Copeland Pdf

Exchange Rates and International Finance provides a guide to the causes and consequences of exchange rate fluctuations. The orientation of the book is towards exchange rate determination with particular emphasis given to the contributions of modern finance theory.

The Economics of Exchange Rates

Lucio Sarno,Mark P. Taylor
The Economics of Exchange Rates Book PDF

Author : Lucio Sarno,Mark P. Taylor
Publisher : Cambridge University Press
Page : 334 pages
File Size : 48,9 Mb
Release : 2002
Category : Business & Economics
ISBN : 0521485843

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The Economics of Exchange Rates by Lucio Sarno,Mark P. Taylor Pdf

In the last few decades exchange rate economics has seen a number of developments, with substantial contributions to both the theory and empirics of exchange rate determination. Important developments in econometrics and the increasingly large availability of high-quality data have also been responsible for stimulating the large amount of empirical work on exchange rates in this period. Nonetheless, while our understanding of exchange rates has significantly improved, a number of challenges and open questions remain in the exchange rate debate, enhanced by events including the launch of the Euro and the large number of recent currency crises. This volume provides a selective coverage of the literature on exchange rates, focusing on developments from within the last fifteen years. Clear explanations of theories are offered, alongside an appraisal of the literature and suggestions for further research and analysis.