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SOFR Futures and Options

Christian Schaller author Doug Huggins author

Format:Hardback

Publisher:John Wiley & Sons Inc

Published:15th Sep '22

Should be back in stock very soon

SOFR Futures and Options cover

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.

ISBN: 9781119888949

Dimensions: 231mm x 152mm x 20mm

Weight: 567g

256 pages