CONTENTS :



Foreward

Preface

Chapter 1. Terminology, Conventions, and Basic Relationships

Quotation conventions; sport and forward rates; currency returns; implied cross-rates and currency returns; hedging and cash flows; covered interest arbitrage and the forward premium; statistical relationships : expected returns and risk; summary



Chapter 2. Historical perspective on foreign exchange risk

Major historical events in the foreign exchange markets ; empirical tendencies of exchange rates ; summary



Chapter 3. Hedging currency risk

Constructing symmetrical hedges ; constructing asymmetrical

hedges ; implementation vehicles ; summary



Chapter 4. Actively managing currencies to enhance retun

A general model for exploiting views about currency retuns; how to exploit the forward rate bias ; how to exploit nonrandomness in currency returns; technical analysis; summary



Chapter 5. Combining return-enhancement and hedging strategies

Optimal allocation of asset and currency exposure; optimization relative to a benchmark; combining the mean-variance and bechmark-relative approaches; extentions beyond simple portfolios; summary



Chapter 6. Performance attribution for actively managed portfolios

Performance attribution when underlying asset composition is constant; performance attribution when derivatives are used; summary



Chapter 7. Structural models of exchange rate determination

Model descriptions; empirical tests of structural models; summary



Chapter 8. Commonly asked questions about currency

Hedging



Appendix A. Key to notation used in the text

Appendix B. Summary of basic currency relationships

Selected references

Theory and empirical evidence

Investment principles and practice