CONTENTS; PART 1 - Introduction to FX Markets and Modelling; CHAPTER 1 - Market History and Structure - Neil Record (Record Currency Management); CHAPTER 2 - The Electronic Revolution in Foreign Exchange - James van der Heule (Citigroup); CHAPTER 3 - Risks and Rewards - Jessica James (Citigroup); CHAPTER 4 - Where Overlay Comes In - Arun Muraldihar (FX Concepts, Inc.); CHAPTER 5 - The Case for Currency Management - Brian Strange (JPMorgan Fleming Investment Management); PART 2 - Currency Risk and Hedging; CHAPTER 6 - FX Risk - Jessica James (Citigroup); CHAPTER 7 - Traditional Hedging Methods - Chris Attfield (PaR Asset Management LLP); CHAPTER 8 - Active vs Passive Hedging - Henrik H. Pedersen (CitiFX Risk Advisory Group); CHAPTER 9 - A Framework to Determine a Currency Hedge Ratio for an International Portfolio - Eric Busay (Fixed Income Unit CalPERS); PART 3 - Designing and Implementing a Trading Strategy; CHAPTER 10 - Trading for Profit - Jessica James (Citigroup); CHAPTER 11 - Trading Models - James Binny (ABN AMRO); CHAPTER 12 - Model building and testing - Gerben J. de Zwart (Robeco Quantitative Research); CHAPTER 13 - Practical Strategy Implementation - Ron Liesching (Pareto); PART 4 - Case Studies; CHAPTER 14 - A Case Study on Bringing FX Prime Brokerage to Currency Overlay - Philip Simotas (FX Concepts); CHAPTER 15 - Currency Risk vs Return in Global Bond Portfolios: A Policy, not a Benchmark Issue - Charles Dolan (Pareto)
Jessica James joined the Citibank FX Risk Advisory Group from Bank One, where she headed their Risk Advisory and Currency Overlay group in Europe. Her group was responsible for the design, marketing and maintenance of currency overlay strategies, and the provision of bespoke research to Bank clients, supporting internal marketing. At Citi, she is closely involved in both these areas, working with marketers and clients to uptier relationships. Jessica is well known for her research, with several books to her credit and a regular publication record in the financial press. Additionally, she teaches a number of financial mathematics courses and sits on the board of the Journal of Quantitative Finance, and the ICBI finance conference board. She has participated in several government Task Forces and is involved with the Institute of Physics as a member of their governing body and a member of their Industry and Business Board. The major part of Jessica's current research is in the FX area. Over the last few years she has been at the forefront of development of currency risk management models and overlay strategies, and has pioneered the use of Extreme Value Theory to manage the risk of large FX moves. Additionally, she has a wealth of experience in the practical process of setting up currency overlay as a business unit, including trading strategy testing, design and marketing. At Bank One, she was in charge of trading sheet design and strategy execution, and instigated and specified a continuous testing process to ensure that the strategies performed within the bounds of expectations. In addition to her FX research, Jessica is known for her work on interest rates, having written an extensive work on modelling and valuation (Interest Rate Modelling, Wiley 2000). She has also published in the credit and risk management areas. Prior to her career in finance, Jessica lectured in physics at Trinity, Oxford, having completed her PhD in Theoretical Atomic and Nuclear Physics in 1994.
"A must-read for asset-mangers, pension funds, hedge funds and corporates." Yves Perreard, Chairman of Perreard Partners Inv., Geneva "Written by professionals for fellow professionals who seek to turn theory into practice and actually perform." Peter Richmond, Trinity College "Dr James has an exceptional ability to zero in on the core problems facing managers and deliver pragmatic, workable and robust solutions that have proved their worth time and again." Mel Mayne, Managing Partner, PaR Asset Management LLP
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