SOFR Futures and Options

Doug Huggins, Christian Schaller, Galen Burghardt

$82.95

Hardback

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English

John Wiley & Sons Inc
15 September 2022

Finance & accounting

Series: Wiley Finance

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.

By: Doug Huggins, Christian Schaller
Foreword by: Galen Burghardt
Imprint: John Wiley & Sons Inc
Country of Publication: United States [Currently unable to ship to USA: see Shipping Info]
Dimensions: Height: 231mm, Width: 152mm, Spine: 20mm
Weight: 567g
ISBN: 9781119888949
ISBN 10: 1119888948
Series: Wiley Finance
Pages: 256
Publication Date: 15 September 2022
Audience: General/trade , ELT Advanced
Format: Hardback
Publisher's Status: Active

Foreword by Galen Burghardt vii Introduction 1 Section One Concepts 15 Chapter 1 SOFR 17 Chapter 2 SOFR Futures 35 Chapter 3 SOFR Lending Markets and the Term Rate 73 Chapter 4 SOFR Spread Futures and the Basis 93 Chapter 5 SOFR Future Options 115 Chapter 6 Pricing Biases and SOFR Curve Building 143 Section Two Use Cases 163 Chapter 7 Simple Examples of Hedging with SOFR Futures 165 Chapter 8 Hedging the CME Term SOFR Rate 177 Chapter 9 Hedging Swaps and Bonds with SOFR Futures 191 Chapter 10 Hedging Caps and Floors with SOFR Futures Options 211 Bibliography 227 Index 229

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, 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.

ONLY $9.90 DELIVERY INFO

SOFR Futures and Options

Doug Huggins, Christian Schaller, Galen Burghardt

$82.95

Hardback

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