دانلود کتاب SOFR Futures and Options: A Practitioner's Guide (Wiley Finance)

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Title Page
Copyright
Foreword
A LITTLE BIT OF HISTORY
A REVOLUTION IN FINANCE
ALL THE BEST
Introduction
EURODOLLARS
EURODOLLAR FUTURES
LIBOR
THE GREAT FINANCIAL CRISIS
THE LIBOR RIGGING SCANDAL
SOFR AND REPO MARKETS
SOFR FUTURES AND OPTIONS: TOPICS AND STRUCTURE OF THIS BOOK
IMPLICATIONS OF SOFR FOR MARKET ANALYSIS
REMAINING HURDLES IN THE TRANSITION FROM LIBOR TO SOFR
THE TRANSITION CONTINUES
NOTES
SECTION ONE: Concepts
CHAPTER 1: SOFR
THE REPO MARKET
SOFR: DEFINITIONS AND FEATURES
CALCULATING A REFERENCE REPO RATE
ORIGIN OF REPO RATES USED FOR SOFR CALCULATION
SOFR VERSUS FED FUNDS
SOFR SPIKES AND THE SRF
BENEFITS AND (POTENTIAL) PROBLEMS OF SOFR
NOTES
CHAPTER 2: SOFR Futures
3M SOFR FUTURES: CONVENTIONS
3M SOFR FUTURES AS MARKET PRICES FOR CONSECUTIVE 3M FORWARD SOFR
3M SOFR FUTURES: STRIPS
3M SOFR FUTURES: ROLLS
1M SOFR FUTURES: CONVENTIONS
1M VERSUS 3M SOFR FUTURES
1M AND 3M SOFR FUTURES: LIQUIDITY
1M AND 3M SOFR FUTURES: ASSESSING THE EFFECT OF FOMC MEETINGS
PRICING AND HEDGING WITH SOFR FUTURES: GENERAL CONSIDERATIONS
EFFECT OF PROCESS SELECTION ON THE PRICING OF SOFR FUTURES
EXAMPLE FOR HEDGING A SOFR TERM RATE WITH SOFR FUTURES VIA A JUMP PROCESS
NOTES
CHAPTER 3: SOFR Lending Markets and the Term Rate
CONVENTIONS OF SOFR-BASED LENDING MARKETS
STATUS OF SOFR-BASED LENDING MARKETS
SIMPLE AVERAGING VERSUS DAILY COMPOUNDING
THE SOFR INDEX
TERM RATE
THE MODEL TRANSLATING SOFR FUTURE PRICES IN SOFR TERM RATES
CRITICISM OF THE CME TERM RATE
TWO SCENARIOS FOR THE FURTHER EVOLUTION OF THE TENSION AND HENCE THE TERM RATE
NOTES
CHAPTER 4: SOFR Spread Futures and the Basis
SOFR FUTURES IN THE STIR UNIVERSE
DRIVING FORCES OF SPREADS IN THE STIR UNIVERSE
CME\'S SPREAD CONTRACTS
DRIVING FACTORS OF THE SECURED–UNSECURED BASIS
A MODEL FOR THE SECURED–UNSECURED BASIS, LINKING IT WITH OTHER BASES (CCBS)
FIRST APPLICATION OF THIS MODEL: PRICING SPREAD FUTURES
SECOND APPLICATION OF THIS MODEL: REPLACING THE CCBS WITH SPREAD FUTURES IN SOME RV TRADES
THIRD APPLICATION OF THIS MODEL: NEW RV RELATIONSHIP
THE CCBS AND THE MODEL AFTER THE END OF LIBOR
REMAINING PRODUCTS WITH EXPOSURE TO THE BASIS AFTER THE END OF LIBOR
SWAPS WITH SOFR AS FLOATING LEG AND ASSET SWAPS AFTER THE END OF LIBOR
HEDGING SOFR-BASED SWAPS AND GOVERNMENT BONDS WITH SOFR FUTURES
NOTES
CHAPTER 5: SOFR Future Options
OPTIONS ON 3M SOFR FUTURES: PRODUCT SUITE AND SPECIFICATIONS
OVERVIEW OF GENERAL VOLATILITY ANALYSIS
DISTRIBUTION OF REALIZED VOLATILITY OVER THE SECURED YIELD CURVE
CURRENT IMPLIED VERSUS HISTORICAL REALIZED VOLATILITY
OPTIONS ON SOFR FUTURES VERSUS OPTIONS ON ED FUTURES
OPTIONS ON 1M SOFR FUTURES: PRODUCT SUITE AND SPECIFICATIONS
OVERVIEW OF AVAILABLE PRICING MODELS FOR ASIAN OPTIONS
A POSSIBLE ROAD MAP TOWARD PRICING OPTIONS ON SOFR FUTURES DURING THE REFERENCE PERIOD
IMPACT OF PROCESS SELECTION ON THE PRICING OF OPTIONS ON SOFR FUTURES
NOTES
CHAPTER 6: Pricing Biases and SOFR Curve Building
BIASES IN EURODOLLAR FUTURES PRICES
NONLINEARITIES RESULTING FROM CONTRACT DEFINITIONS
BIASES IN SOFR FUTURES
BUILDING A SOFR SWAP CURVE FROM SOFR FUTURES
NOTE
SECTION TWO: Use Cases
CHAPTER 7: Simple Examples of Hedging with SOFR Futures
EXAMPLE 1: CORPORATE TREASURER CONVERTING FLOATING RATE EXPOSURE TO FIXED
EXAMPLE 2: LOCKING IN AN INTEREST RATE WITH MISMATCHED DATES
EXAMPLE 3: USING ONE-MONTH SOFR FUTURES AS A HEDGING ALTERNATIVE
LESSONS TO BE LEARNED FROM THESE THREE SIMPLE EXAMPLES
NOTES
CHAPTER 8: Hedging the CME Term SOFR Rate
THE TERM SOFR METHODOLOGY
THE CME TERM SOFR OBJECTIVE FUNCTION
OBTAINING FUTURES PRICES TO USE AS INPUTS TO THE TERM SOFR MODEL
HEDGING TERM SOFR EXPOSURE
A PRECISE APPROACH TO HEDGING CME TERM SOFR EXPOSURE
PRACTICAL CONSIDERATIONS
NOTES
CHAPTER 9: Hedging Swaps and Bonds with SOFR Futures
TREASURIES VERSUS SOFR FUTURES STRIPS
HEDGING SOFR SWAPS WITH SOFR FUTURES
HEDGING TREASURIES WITH SOFR FUTURES
NOTES
CHAPTER 10: Hedging Caps and Floors with SOFR Futures Options
HEDGING WITH OPTIONS ON 3M SOFR FUTURES BEFORE THEIR REFERENCE QUARTER STARTS
MANAGING THE HEDGE DURING THE REFERENCE QUARTER
BASIC REPLICATION STRATEGIES OF CAPS AND FLOORS WITH 1M FUTURE OPTIONS
DEALING WITH DAILY FLOORS
NOTES
Bibliography
Index
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