SOFR Futures and Options: A Practitioner's Guide - Couverture rigide

Huggins, Doug; Schaller, Christian

 
9781119888949: SOFR Futures and Options: A Practitioner's Guide
Couverture rigide
ISBN 10 : 1119888948 ISBN 13 : 9781119888949
Editeur : John Wiley & Sons Inc, 2022

Synopsis

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de l?auteur

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.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
John Wiley & Sons Inc
Date d'édition
2022
Langue
anglais
ISBN 10 
1119888948
ISBN 13 
9781119888949
Reliure
Relié
Numéro d'édition
1
Nombre de pages
256
Coordonnées du fabricant
JOSSEY-BASS
https://www.wiley.com/en-us

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