edited by Zhaohui Chen (International Monetary Fund and Centre for Economic Policy Research)

This volume is a collection of classical and recent empirical studies of currency options and their implications for issues of exchange rate economics, such as exchange rate risk premium, volatility, market expectations, and credibility of exchange rate regimes. It contains applications on how to extract useful information from option market data for financial forecasting policy purposes. The subjects are discussed in a self-contained, user-friendly format, with introductory chapters on currency option theory and currency option markets.

The book can be used as supplementary reading for graduate finance and international economics courses, as training material for central bank and regulatory authorities, or as a reference book for financial analysts.

• Learning from Currency Option Markets: An Overview (Z-H Chen)
• An Introduction to Option Pricing Theory (P G Zhang)
• An Introduction to Currency Option Markets (A M Malz)
• The Implied Volatility in Prices of Foreign Currency Options (L O Scott)
• Learning from the Term Structure of Implied Volatility in Foreign Exchange Options (J M Campa & P H K Chang)
• Options and the Currency Risk Premium (R K Lyons)
• Option Prices and the Probability Distribution of Exchange Rates (A M Malz)
• The ERM Realignment Probabilities: Estimates Using Option Prices (A M Malz)
• Options on Exchange Rates in Target Zones (J M Campa & P H K Chang)
• Inferring Market Expectations Using Currency Option Price and Volume Data (Z-H Chen & C A E Goodhart)