Sofr Futures and Options: A Practitioner's Guide
Huggins, Doug/ Schaller, Christian
Language: English
Published by John Wiley & Sons Inc, 2022
- Hardcover
- New

Seller: Revaluation Books, Exeter, United KingdomRevaluation Books
AbeBooks seller since January 6, 2003
Condition: New
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Add to basketItem description from seller
256 pages. 9.33x6.22x0.43 inches. In Stock.
Seller Inventory # __1119888948
- Title
- Sofr Futures and Options: A Practitioner's Guide
- Author
- Huggins, Doug/ Schaller, Christian
- Publisher
- John Wiley & Sons Inc
- Publication year
- 2022
- Condition
- Brand New
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 1119888948
- ISBN 13
- 9781119888949
- Item weight
- 0.55 kilograms
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.
"Synopsis" may belong to another edition of this title.
About the Author
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.
"About the title" may belong to another edition of this title.
Revaluation Books
Exeter, United Kingdom
AbeBooks seller since January 6, 2003
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