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Notably, the flexibility provided by forward/option hybrids such as range options and participating forwards was not as critical as correctly measuring exposure and calibrating the right hedge ratios. After the Illinois auction, the hedge ratio and average price is likely to be higher for MWG. Topics covered include: defining and decomposing currency returns, foreign exchange research and choice of currency management styles, optimisation and hedge ratio, benchmark design and performance measurement, option pricing theory and dynamic hedging, emerging market currencies, liquidity, e-commerce and much more. |
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