SOFR Futures and Options

Zusatztext

<p><i>SOFR Futures and Options</i> 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:<ul><li>The repo market and the construction of SOFR</li><li>SOFR-based lending markets and the term rate</li><li>The secured-unsecured basis</li><li>SOFR futures and options and their spread contracts</li><li>Margin and convexity</li></ul><p>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.<p>The gold standard resource for professionals working at financial institutions,<i>SOFR Futures and Options</i> also belongs in the libraries of students of finance and business, as well as those preparing for the Chartered Financial Analyst exam.

Autorenportrait

<p><b>DOUG HUGGINS, P<small>H</small>D,</b> 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.<p><b>CHRISTIAN SCHALLER, P<small>H</small>D,</b> 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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