SOFR Futures and Options by Doug Huggins

SOFR Futures and Options by Doug Huggins

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.

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.

SKU	Unavailable
ISBN 13	9781119888949
ISBN 10	1119888948
Title	SOFR Futures and Options
Author	Doug Huggins
Series	Wiley Finance
Condition	Unavailable
Binding Type	Hardback
Publisher	John Wiley & Sons Inc
Year published	2022-09-15
Number of pages	256
Cover note	Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
Note	Unavailable