T2W Trading Community

Description

This fully up-to-date multi-contributor volume includes unrivalled analysis into the increasingly important areas of currency overlay and FX modelling - providing you with a range of practical solutions to common problems that have proved their worth time and again.

- Gain expert insight into all aspects of currency and recognise the principles behind overlay management so that you can design and implement an effective strategy

- Includes contributions from leading fund managers, overlay companies and investment/asset managers, including many of the most respected players in the field

- Advises on the pros and cons of implementing a programme internally vs. outsourcing to a currency manager

- Additionally covers, currency risk and hedging, active vs. passive hedging, determining the hedge ratio, the design and implementing of a trading strategy, trading models and model building and testing

Chapter Headings

PART 1: Introduction to FX Markets and Modelling

1. Market History and Structure - Neil Record (Record
Overlay)

2. Accessing the market - James van der Heule (Citi)

3. Risks and rewards - Jessica James (Citi)

4. Where overlay comes in - Arun Muraldihar

5. The Case for Currency Management - Brian Strange
(JPMFIM)


PART 2: Currency Risk and Hedging

6. FX risk - Jessica James (Citi)

7. Traditional hedging - Chris Attfield (PaR associates)

8. Active vs passive hedging - Henrik Pedersen (Citi)

9. Determining the Hedge Ratio - Eric Busay at CalPERS


PART 3: Designing and Implementing a Trading Strategy

10. Trading for profit - Jessica James (Citi)

11. Trading models - James Binny (Gartmore)

12. Model building and testing - Gerben de Zwart (Robeco)

13. Practical strategy implementation - Ron Liesching
(Pareto)


PART 4: Case Studies

14. A Case Study on Bringing FX Prime Brokerage to Currency
Overlay (Philip Simotas, FX Concepts)

15. A Case Study on Currency Risk vs Return in Global Bond
Portfolios (Charles Dolan, Pareto)

NB - This table of contents is provisional until final
publication of the book. Small changes to chapters, chapter
order or contributors may occur.