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SOFR Futures and Options

SOFR Futures and Options

A Practitioner's Guide

by Doug Huggins and Christian Schaller
Hardback
Publication Date: 14/09/2022
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SOFR Futures and Options is the practical guide through the maze of the transition from LIBOR. In the first section, it provides an in-depth explanation of the concepts involved:

  • The repo market and the construction of SOFR
  • SOFR-based lending markets and the term rate
  • The secured-unsecured basis
  • SOFR futures and options and their spread contracts
  • Margin and convexity

Applying these insights, the second section offers detailed worked-through examples of hedging loans, swaps, bonds, and floors with SOFR futures and options, supported by interactive spreadsheets accessible on the web.

The gold standard resource for professionals working at financial institutions, SOFR Futures and Options also belongs in the libraries of students of finance and business, as well as those preparing for the Chartered Financial Analyst exam.

ISBN:
9781119888949
9781119888949
Category:
Finance & accounting
Format:
Hardback
Publication Date:
14-09-2022
Language:
English
Publisher:
John\Wiley#& Sons, Limited
Country of origin:
United Kingdom
Pages:
256
Dimensions (mm):
242x150x18mm
Weight:
0.56kg
Doug Huggins

Doug Huggins, PHD, has over thirty-two years of experience working in the fixed income markets. He has worked as a European fixed income relative value researcher at Deutsche Bank, as well as a Global Head of Fixed Income Relative Value Research and Global Head of Hedge Fund Sales at ABN AMRO, and founded a proprietary trading desk at ABN.

Christian Schaller

Christian Schaller, PHD, was Global Head of Leveraged Investment Strategy at ABN AMRO and is now an independent consultant and trainer for financial institutions. He co-founded, with Doug Huggins, QMA Analytics, a London-based firm providing analytic software for financial market participants.

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