SOFR Futures and Options: A Practitioner's Guide (Wiley Finance)
An indispensable roadmap to trading and understanding short-term interest rate futures and options under the new SOFR system.
A mainstay of global finance for over thirty years, the Eurodollar futures and options complex is widely regarded as one of the most successful futures and options products in the history of exchange-traded derivatives. Its successor, the Secured Overnight Financing Rate (SOFR) futures and options complex is poised to continue its tradition of excellence.
In SOFR Futures and Options: A Practitioner’s Guide, Doug Huggins and Christian Schaller provide a comprehensive and authoritative discussion of the SOFR complex, walking finance practitioners and students through every nuanced and essential topic of importance in the area of SOFR futures and options.
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Meet the Authors
Doug Huggins, PhD
Doug Huggins, PhD, has over 32 years of experience working in the fixed income markets. He has worked as an 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
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.
Explore SOFR derivatives and reference rates
Discover the leading and most comprehensive suite of SOFR-based pricing and risk management tools.
Tap into the leading liquidity pool for hedging short-term interest rates, with robust book depth and tight bid-ask spreads extending five years out the forward curve.
Fine-tune risk exposures with the unrivaled non-linear flexibility of 80 options expiries listed at a time, ranging from one week to four years.
Access clearing services for SOFR Interest Rate swaps, both outright OIS and Basis Swaps, with available cross-margining vs. futures and options.
Use the rapidly growing global benchmark for new USD lending as implied by transactions in derivatives markets and endorsed by the ARRC.