Foreign Exchange: Practical Asset Pricing and Macroeconomic Theory

ISBN-13: 9783030935542 / Angielski / Twarda / 2022 / 260 str.

Adam S. Iqbal

Spis treści

Chapter 1; Risk Premiums.- Chapter 2: FX Forwards and the Carry Trade.-  Chapter 3; Exchange Rates, Interest Rates, Inflation and the Risk Premium.- Chapter 4; The Mundell Fleming Model of the Exchange Rate.- Chapter 5: Valuation Models (PPP, DEER, FEER)?.- Chapter 6: What Drives Inflation and How Do Central Banks Control It?.- Chapter 7: Analogous Frameworks for Equity Investments.

O autorze

Adam S. Iqbal is a Managing Director and Global Head of G10 FX Options Trading at Goldman Sachs, where he has previously served as Global Head of FX Exotics and Correlation Options Trading, and EMEA Head of G10 FX Options Trading, running FX vanilla and exotic options portfolios.  Prior to this, he was an FX Volatility Portfolio Manager at PIMCO, and he has worked as a vanilla and exotic FX options trader at Barclays Investment Bank in London.  He is also author of Volatility: Practical Options Theory (2018).

Dr. Iqbal holds a PhD in financial mathematics and economics from Imperial College London, an MSc in applied mathematics from Oxford University, and an MSci, and BA in physics from Cambridge University.  He has held a visiting academic position at Imperial College London and has guest lectured at the London School of Economics.

Blurb

“This book provides an exhaustive and even-handed review of the existing literature on exchange rate determination, along with a raft of fresh insights. The author provides a unique marriage of academic precision with an investor’s practical experience to deliver a rigorous yet intuitive application of asset-pricing theory to foreign exchange. Foreign Exchange: Practical Asset Pricing and Macroeconomic Theory should become the canonical text on this subject.”

—Nick Wilson, FX Portfolio Manager, Citadel

“This new book is a treasure trove. Iqbal presents a practical and useful framework that includes various macroeconomic and monetary economic concepts relating to foreign exchange, such as risk premiums, interest rates, and inflation. Many real-world examples illustrate how these concepts relate to each other. I have enjoyed reading every page of this book and I strongly recommend it to academics, students, and indeed, anybody interested in how foreign exchange markets interact with macroeconomics.”

—Johannes Ruf, Professor, London School of Economics

“Iqbal’s Foreign Exchange diligently captures the intuition behind risk premia in FX markets and their theoretical underpinnings, whilst also being practically relevant for the reader. This book is an important and much needed foundational text for students, researchers, and practitioners alike who want to truly understand foreign exchange markets, their drivers and uncertainties, be it from risk premiums, macroeconomic, or monetary economic sources.”

—Dr. Farouk Jivraj, Head of Alternative Risk Premia, Fidelity Investments

“In an age when foreign exchange has increasingly become the turf of high frequency algo traders rather than fundamental investors, Adam Iqbal's book provides an excellent and comprehensive overview of an asset class that, given the rising macro-economic volatility, is likely to regain its characteristics as prime instrument for hedging and thematic macro expression. By approaching foreign exchange via the risk premium conceptual framework, Adam is equipping the reader to identify dislocations and opportunities in a rapidly changing world. With the right balance of theory and practice, Foreign Exchange: Practical Asset Pricing and Macroeconomic Theory is accessible and should be of interest to both academic and professional readers.”

—Borislav Vladimirov, Managing Director, Macro Strategist, Goldman Sachs