Foreign Exchange Risk: Models, Tools, and Management Strategies

Author: Hakkala
Publisher:
Publish Date: 2004-12-01
Features: This book comprehensively introduces the history and new developments in the mathematical research of foreign exchange derivative products. The foreign exchange market is one of the most liquid markets globally, with trading being global and continuous. However, the variety of currencies traded is limited, including only the U.S. dollar, Japanese yen, Euro, British pound, and a few other currencies such as Swiss Franc, Australian Dollar, and Canadian Dollar. This book explores the history and new developments in the quantitative research of foreign exchange derivatives. We discuss some market instruments and their pricing issues, fundamental mathematical tools, Greek letters, risk management, and correlation management. The traditional option pricing theory is the Black-Scholes-Merton model, which has a simple mathematical approach, is widely accepted in the market, and is considered the cornerstone of option pricing theory. The authors of each chapter in this book are different, but we have adopted some methods to ensure the entire book is coherent and readable. Each section can stand alone as a chapter. We hope readers will enjoy this book. We have included the new research findings in this field and organically integrated them into a complete system, making each part easy to understand.