Details

<p>Foreword by <i>Galen Burghardt</i> vii</p> <p>Introduction 1</p> <p><b>Section One Concepts 15 </b></p> <p>Chapter 1 SOFR 17</p> <p>Chapter 2 SOFR Futures 35</p> <p>Chapter 3 SOFR Lending Markets and the Term Rate 73</p> <p>Chapter 4 SOFR Spread Futures and the Basis 93</p> <p>Chapter 5 SOFR Future Options 115</p> <p>Chapter 6 Pricing Biases and SOFR Curve Building 143</p> <p><b>Section Two Use Cases 163 </b></p> <p>Chapter 7 Simple Examples of Hedging with SOFR Futures 165</p> <p>Chapter 8 Hedging the CME Term SOFR Rate 177</p> <p>Chapter 9 Hedging Swaps and Bonds with SOFR Futures 191</p> <p>Chapter 10 Hedging Caps and Floors with SOFR Futures Options 211</p> <p>Bibliography 227</p> <p>Index 229</p>

<p><b>DOUG HUGGINS, P<small>H</small>D,</b> 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. <p><b>CHRISTIAN SCHALLER, P<small>H</small>D,</b> 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.

<p><b>The gold standard in guides to the new Secured Overnight Financing Rate index, sponsored by the CME Group </b></p> <p><i>SOFR Futures and Options</i> is a practical and comprehensive discussion of the successor to the Eurodollar futures and options complex, the Secured Overnight Financing Rate index. The book walks finance practitioners and students through every nuanced and essential topic of importance in the area of SOFR futures and options. <p>Accompanied by interactive spreadsheets accessible on the web by purchasers of the book, <i>SOFR Futures and Options</i> guides readers through the transitional maze leading from LIBOR to SOFR. You’ll learn about 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, as well as margin and convexity. <p>You’ll also find detailed, worked examples of hedging loans, bonds, swaps, and floors with SOFR futures and options. <p>An indispensable roadmap to trading and understanding short-term interest rate futures under the new SOFR system, the book will earn a place in the libraries of finance students and practitioners at financial institutions everywhere.

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