SOFR Futures and Options

ISBN-13: 9781119888949 / Angielski / Twarda / 2022 / 256 str.

Christian Schaller

Spis treści

Foreword by Galen Burghardt viiIntroduction 1Section One Concepts 15Chapter 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 163Chapter 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

O autorze

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.