SOFR Futures and Options

Inbunden, Engelska, 2022

356 kr

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Beskrivning

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 SOFRSOFR-based lending markets and the term rateThe secured-unsecured basisSOFR futures and options and their spread contractsMargin and convexityApplying 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.

Produktinformation

Utgivningsdatum:2022-09-15
Mått:152 x 231 x 20 mm
Vikt:567 g
Format:Inbunden
Språk:Engelska
Serie:Wiley Finance
Antal sidor:256
Förlag:John Wiley & Sons Inc
Medarbetare:Burghardt,Galen
ISBN:9781119888949

Utforska kategorier

Redovisning och finansiering inom Ekonomi och Ledarskap

Mer om författaren

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.

Innehållsförteckning

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