SOFR Futures and Options by Doug Huggins and Christian Schaller (2022, Hardcover)
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About this product
Product Identifiers
PublisherWiley & Sons, Incorporated, John
ISBN-101119888948
ISBN-139781119888949
eBay Product ID (ePID)6057262512
Product Key Features
Book TitleSofr Futures and Options
Number of Pages256 Pages
LanguageEnglish
TopicFinance / Financial Risk Management, Investments & Securities / Futures, Finance / General, Investments & Securities / Options
Publication Year2022
GenreBusiness & Economics
AuthorDoug Huggins, Christian Schaller
Book SeriesWiley Finance Ser.
FormatHardcover
Dimensions
Item Height0.8 in
Item Weight20 oz
Item Length9.1 in
Item Width6 in
Additional Product Features
Intended AudienceTrade
LCCN2022-026760
Table Of ContentForeword 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
SynopsisSOFR 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.
LC Classification NumberHG6024.5.H84 2023
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