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portada SOFR Derivatives Strategy
Type
Physical Book
Publisher
Author
Year
2026
Language
English
Pages
310
Format
Paperback
ISBN13
9798896654384

SOFR Derivatives Strategy

Felix J. Warwick (Author) · NobleTrex Press · Paperback

SOFR Derivatives Strategy - Felix J. Warwick

New Book Imported to Taiwan
Delivery: 05 Nov - 13 Nov Shipping: 6 to 7 business days.
NT$ 1,119
NT$ 1,119

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Synopsis "SOFR Derivatives Strategy"

As LIBOR fades into history, success in USD rates markets depends on a precise grasp of SOFR and the instruments built around it. This book is written for rates traders, risk managers, treasury professionals, and fixed-income quants who need a practical, market-ready framework for trading, hedging, and valuing exposures in the post-LIBOR landscape. It bridges institutional market structure with desk-level decision making, showing how SOFR actually behaves and how that behavior translates into risk and opportunity.Readers will learn how to move from foundational rate mathematics to full SOFR curve construction using SR1 and SR3 futures and SOFR OIS swaps, with careful treatment of bootstrapping, interpolation, and futures convexity adjustments. The book then develops product pricing, DV01 and bucketed risk, carry and rolldown, P&L attribution, and implementable trading ideas such as SOFR-Fed Funds basis trades, curve structures, and hedging SOFR-linked loans with futures strips. Each topic is presented with a strong focus on executable analytics rather than abstract theory.A distinguishing feature of the book is its operational depth. Beyond valuation and strategy, it covers Python-based implementation, reproducible curve engines, hedge calculators, backtesting workflows, model risk, stress testing, and governance controls required on a professional desk. The result is a self-contained guide for practitioners who want both conceptual clarity and a robust framework for real-world SOFR derivatives work.

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The book is written in English.

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The binding of this edition is Paperback.

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