SOFR Futures and Options: A Practitioner's Guide - Rilegato

Huggins, Doug; Schaller, Christian

Rilegato

ISBN 10: 1119888948 ISBN 13: 9781119888949

Casa editrice: John Wiley & Sons Inc, 2022

Riassunto

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.

Su questo libro

Informazioni sull?autore

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.

Dalla quarta di copertina

The gold standard in guides to the new Secured Overnight Financing Rate index, sponsored by the CME Group

SOFR Futures and Options is a practical and comprehensive discussion of the successor to the Eurodollar futures and options complex, the Secured Overnight Financing Rate index. The book walks finance practitioners and students through every nuanced and essential topic of importance in the area of SOFR futures and options.

Accompanied by interactive spreadsheets accessible on the web by purchasers of the book, SOFR Futures and Options guides readers through the transitional maze leading from LIBOR to SOFR. You’ll learn about 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, as well as margin and convexity.

You’ll also find detailed, worked examples of hedging loans, bonds, swaps, and floors with SOFR futures and options.

An indispensable roadmap to trading and understanding short-term interest rate futures under the new SOFR system, the book will earn a place in the libraries of finance students and practitioners at financial institutions everywhere.

Dettagli dell?edizione

• Editore: John Wiley & Sons Inc
• Data di pubblicazione: 2022
• Lingua: Inglese
• ISBN 10: 1119888948
• ISBN 13: 9781119888949
• Rilegatura: Copertina rigida
• Numero edizione: 1
• Numero di pagine: 238
• Contatto del produttore: non disponibile