SOFR Futures and Options
Author: Huggins, Doug
ISBN: 9781119888949
RM179.78
Publisher,John Wiley & Sons Inc
Publication Date,
Format, Hardcover
Weight,
No. of Pages, 256
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Shelf: Non-Fiction Books / Business Finance & Accounting / Securities Options & Future
Shelf: Non-Fiction Books / Business Finance & Accounting / Securities Options & Future
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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
