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SOFR Futures and Options (Wiley Finance)

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Description

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 SOFRSOFR-based lending markets and the term rateThe secured-unsecured basisSOFR futures and options and their spread contractsMargin and convexityApplying 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. Read more Read less

Publisher ‏ : ‎ Wiley; 1st edition (September 14, 2022)


Language ‏ : ‎ English


Hardcover ‏ : ‎ 256 pages


ISBN-10 ‏ : ‎ 1119888948


ISBN-13 ‏ : ‎ 49


Item Weight ‏ : ‎ 2.31 pounds


Dimensions ‏ : ‎ 6 x 0.8 x 9.1 inches


Best Sellers Rank: #160,147 in Books (See Top 100 in Books) #52 in Futures Trading (Books) #52 in Financial Risk Management (Books) #97 in Options Trading (Books)


#52 in Futures Trading (Books):


#52 in Financial Risk Management (Books):


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If you place your order now, the estimated arrival date for this product is: Wednesday, Jan 8

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Top Amazon Reviews

    • Early Lead, Will Need a Revision
This is a very good, detailed, advanced book on a key topic: the transition from unsecured to secured short term interest rates. The transition from LIBOR to a new reference can't be fully appreciated until reading this book. SOFR isn't LIBOR, the reference periods aren't the same, and challenges of transitioning between 3M compounded, 1M arithmetic, and their associated options is not fully appreciated by the market and manifest in the slower adoption of options. The authors are the leading edge of the transition with Galen Burghardt's introduction bridging the gap from his seminal work in Eurodollars. All that said there is too much still developing in SOFR, the authors are transparent about that, and the book will need a revision as the market matures. I've traded both ED and SR3 and this is required reading. ... show more
Reviewed in the United States on November 14, 2022 by BlacklionCTA
    • Where is the code ?
I had high expectations about this book which were largely met. However, I fail to understand the author's choice of not releasing the excel spreadsheets for chapter 6 "SOFR Curve building" which is the most important take away of this book. There are not too many resources around yet that review SOFR curve building process. Authors provided example spreadsheets for all the other chapters but not 6. An unfortunate decision! ... show more
Reviewed in the United States on June 12, 2023 by curve master

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