SOFR Futures and Options

SOFR Futures and Options
Doug Huggins
RRP:
NZ$ 94.99
Our Price:
NZ$ 80.74
Hardback
h242 x 150mm - 256pg
15 Sep 2022 US
International import eta 10-30 days
9781119888949
Out Of Stock
Currently no stock in-store, stock is sourced to your order
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.
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.
Status: Active
ISBN-13: 9781119888949
Published: 15 Sep 2022
Published In: United States
Imprint: John Wiley & Sons
Publisher: John Wiley & Sons
Format: Hardback
Height: 242mm
Width: 150mm
Spine: 18mm
Weight: 558g
Pages: 256

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