商品描述
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.
商品描述(中文翻譯)
《SOFR期貨與選擇權》是一本實用指南，幫助讀者穿越從LIBOR過渡的迷宮。在第一部分中，書中深入解釋了相關概念：
- 回購市場及SOFR的構建
- 基於SOFR的貸款市場及期限利率
- 有擔保與無擔保的基差
- SOFR期貨與選擇權及其價差合約
- 保證金與凸性
應用這些見解，第二部分提供了詳細的實例，說明如何使用SOFR期貨與選擇權對沖貸款、掉期、債券和底部，並附有可在網路上訪問的互動電子表格。
作為金融機構專業人士的黃金標準資源，《SOFR期貨與選擇權》同樣適合金融與商業學生的圖書館，以及那些準備特許金融分析師考試的人士。
作者簡介
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.
作者簡介(中文翻譯)
**道格·哈金斯（DOUG HUGGINS），博士**，在固定收益市場擁有超過三十二年的工作經驗。他曾在德意志銀行擔任歐洲固定收益相對價值研究員，並在ABN AMRO擔任全球固定收益相對價值研究負責人及對沖基金銷售全球負責人，還在ABN創立了一個專有交易台。
**克里斯蒂安·沙勒（CHRISTIAN SCHALLER），博士**，曾擔任ABN AMRO的全球槓桿投資策略負責人，現在是一名獨立顧問和金融機構的培訓師。他與道格·哈金斯共同創立了QMA Analytics，這是一家位於倫敦的公司，提供金融市場參與者的分析軟體。
