SOFR futures and options : a practitioner's guide

By:

Huggins, Doug

Contributor(s):

Schaller, Christian

Series: Wiley finance seriesPublication details: Wiley 2022 New JerseyDescription: 238pISBN:

9781119888949

Subject(s):

Finances

DDC classification:

332.6323 HUG

Summary: In this book, the author discuss a number of more advancd issues surrounding the complex, such as pricing differences between one month and three month futures contracts, building a SOFR yield curve from futures prices, hedging the CME Term Rate, and the challeges of hedging SOFR loan products using options on one-month and three-month contracts.

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Holdings
Item type	Current library	Collection	Call number	Status	Date due	Barcode	Item holds
Book	Jammu General Stacks	Non-fiction	332.6323 HUG (Browse shelf(Opens below))	Available		IIMJ-7916

Total holds: 0

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Table of Contents: Introduction Section One : Concepts Chapter 1:SOFR Chapter 2:SOFR Futures Chapter 3:SOFR Lending Markets and the Term Rate Chapter 4:SOFR Spread Futures and the Basis Chapter 5:SOFR Future Options Chapter 6:Pricing Biases and SOFR Curve Building Section Two: Use Cases Chapter 7:Simple Examples of Hedging with SOFR Futures Chapter 8:Hedging the CME Term SOFR Rate Chapter 9:Hedging Swaps and Bonds with SOFR Futures Chapter 10:Hedging Caps and Floors with SOFR Futures Options

In this book, the author discuss a number of more advancd issues surrounding the complex, such as pricing differences between one month and three month futures contracts, building a SOFR yield curve from futures prices, hedging the CME Term Rate, and the challeges of hedging SOFR loan products using options on one-month and three-month contracts.

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