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1、 Currency Overlay Neil Record Currency Overlay Wiley Finance Series Currency Overlay Neil Record Active Investment Management Charles Jackson Option Theory Peter James The Simple Rules of Risk: Revisiting the Art of Risk Management Erik Banks Capital Asset Investment: Strategy, Tactics and Tools Ant
2、hony F. Herbst Brand Assets Tony Tollington Swaps and other Derivatives Richard Flavell Currency Strategy: A Practitioners Guide to Currency Trading, Hedging and Forecasting Callum Henderson The Investors Guide to Economic Fundamentals John Calverley Measuring Market Risk Kevin Dowd An Introduction
3、to Market Risk Management Kevin Dowd Behavioural Finance James Montier Asset Management: Equities Demystifi ed Shanta Acharya An Introduction to Capital Markets: Products, Strategies, Participants Andrew M. Chisholm Hedge Funds: Myths and Limits Francois-Serge Lhabitant The Managers Concise Guide to
4、 Risk Jihad S. Nader Securities Operations: A guide to trade and position management Michael Simmons Modeling, Measuring and Hedging Operational Risk Marcelo Cruz Monte Carlo Methods in Finance Peter J ackel Building and Using Dynamic Interest Rate Models Ken Kortanek and Vladimir Medvedev Structure
5、d Equity Derivatives: The Defi nitive Guide to Exotic Options and Structured Notes Harry Kat Advanced Modelling in Finance Using Excel and VBA Mary Jackson and Mike Staunton Operational Risk: Measurement and Modelling Jack King Advanced Credit Risk Analysis: Financial Approaches and Mathematical Mod
6、els to Assess, Price and Manage Credit Risk Didier Cossin and Hugues Pirotte Interest Rate Modelling Jessica James and Nick Webber Volatility and Correlation in the Pricing of Equity, FX and Interest-Rate Options Riccardo Rebonato Risk Management and Analysis vol. 1: Measuring and Modelling Financia
7、l Risk Carol Alexander (ed.) Risk Management and Analysis vol. 2: New Markets and Products Carol Alexander (ed.) Interest-Rate Option Models: Understanding, Analysing and Using Models for Exotic Interest-Rate Options (second edition) Riccardo Rebonato Currency Overlay Neil Record CopyrightC?2003John
8、 Wiley Essex University and University College, London, from where he gained an MSc in Economics with Distinction. His fi rst job, in 1977, was as an Economist in the Economic Intelligence Department of the Bank of England. While there he had his fi rst taste of large- scale economic modelling, and
9、his fi rst exposure to an exchange rate forecasting model. It was notable then that the exchange-rate forecasting model was one of the weaker elements of the Banks model of the UK economy. In 1979, Neil moved to work as a commodity price forecaster at the chocolate maker Mars in Slough, UK. He quick
10、ly moved into line responsibility for buying commodities, and then to buying forward currency for the companys commodity and import needs. While at Mars he developed an innovative process for controlling currency risk and exploiting currency market ineffi ciency. In 1983, aged 29, Neil left Mars to
11、establish his own specialist currency management business, Record Treasury Management (renamed Record Currency Management in 2001). Record Currency Management was a pioneer of currency overlay for pension and investment funds, and in April 1985 it was awarded the worldwide fi rst-ever institutional
12、currency overlay mandate from the UK Water Authorities Superannuation Fund. Today, 20 years after founding Record Currency Management, Neil remains Chairman and CEO. He divides his time between client liaison, currency overlay design work, and speaking and writing about currency overlay. His other i
13、nterests include a non-Executive Directorship of RDF Media a leading UK independent TV production company opera, baroque music, tennis, skiing, travel, art, architecture and watching his childrens sporting activities. He is divorced and lives with his partner, Julie, and his three children and her t
14、wo children. Acknowledgements IamindebtedtomycolleaguesatRecordCurrencyManagement,particularlyPeterWakefi eld, Leslie Hill, Bob Noyen, Mike Timmins, Ian Harrison, Joel Sleigh, Dave Murphy, Simon Williamson, James Dyas, Sebastian Jans and Dmitri Tikhonov for their technical input, advice and debate.
15、I am also grateful to Chris Jackson, Jane Deane and Julia Edbrooke for their administrative support. I am also indebted to Brian St.J. Hall of Hewitt Bacon in particular, there does not exist at the time of writing (2003) any comparable comprehensive book on currency overlay. Becausecurrencyoverlayi
16、snew,Ihavechosentowritethisbookinsuchawaythatitfulfi ls twofunctions:thefi rstasaprimer;thesecondasareferencebook.Writingforaheterogeneous audience is diffi cult at the best of times; writing for a heterogeneous audience and to fulfi l two functions is doubly challenging. I have chosen to enlist a number of techniques to help in this effort. r Argument from fi rst principles Where possible, I try to limit the reference to external theories or academic literature. In theory, I would
