Foreign Exchange: Practical Asset Pricing and Macroeconomic Theory - Hardcover

Iqbal, Adam S.

Hardcover

ISBN 10: 303093554X ISBN 13: 9783030935542

Publisher: Palgrave Macmillan, 2022

Synopsis

One of the great challenges that many participants in foreign exchange (FX) markets face is sifting through the often overwhelming amount of information that is available. Media outlets stream updates on international politics, economics, and other factors that move FX prices twenty-four hours a day. It is difficult to work out what is and what is not important. This book helps its reader overcome these challenges by combining the insights gained from a market practitioner who has traded FX at Goldman Sachs, PIMCO, and Barclays Investment Bank, with textbook-level modern financial macroeconomic theory.

The book covers macroeconomics relating to exchange rate determination. While you could obtain this information from a disparate set of sources―textbooks, academic literature, industry research notes, conversations with other market practitioners, and theories cited in media reports―this book brings all of these sources together to translate the information into concrete FX views that are firmly rooted in the macroeconomic theory of risk premiums, interest rates, and inflation, among other topics. The book promotes time consistent thought that avoids the daily temptation to jump from that day’s economic narrative to the next. Of particular interest to buy- and sell-side industry practitioners, finance and economics graduate students, academics, and others interested in FX markets, this book teaches its readers how to do this and improve their own trading and understanding of the FX markets.

About this title

About the Author

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.

From the Back Cover

“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 exchangemarkets 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

Edition details

• Publisher: Palgrave Macmillan
• Publication date: 2022
• Language: English
• ISBN 10: 303093554X
• ISBN 13: 9783030935542
• Binding: Hardcover
• Edition number: 1
• Number of pages: 258