SOFR Futures and Options is a comprehensive practitioner’s guide that addresses the transition from LIBOR to SOFR (Secured Overnight Financing Rate) as the benchmark for USD interest rate derivatives. Written by industry veterans Christian Schaller and Doug Huggins, the book serves as an essential roadmap for finance professionals, traders, analysts, and students navigating this major transformation in global financial markets.
Key Features and Content
Structure
Section 1: Foundation and Context
Explains the origins, mechanics, and motivations behind the move from LIBOR to SOFR.
Breaks down SOFR’s daily publication and calculation methodology.
Details on instrument design for SOFR-based futures and options, including their market conventions and specifications.
Section 2: Practical Application
Demonstrates hands-on hedging strategies for various instruments—loans, swaps, bonds, and floors—using SOFR futures and options.
Includes worked examples and exercises, supported by interactive spreadsheets, to help the reader apply concepts in real scenarios.
Touches on trading, risk management, pricing, and arbitrage strategies in the new SOFR-based environment.
Major Topics Covered
| Topic | Description |
|---|
| Transition from LIBOR | Why LIBOR ended and how SOFR was chosen as the alternative |
| SOFR Market Instruments | Product details for CME, ICE, and other SOFR contracts and options |
| Hedging with SOFR | Methods for hedging rate risk using SOFR futures and options |
| Pricing and Valuation | Models for valuing SOFR-based derivatives |
| Practical Examples | Real-world case studies and example trades |
| Impact on Financial Markets | how the adoption of SOFR changes valuation, risk management, and liquidity in markets |
About the Authors
Doug Huggins, PhD:
Over 32 years of experience in fixed income markets. Formerly held senior roles at Deutsche Bank and ABN AMRO, including Global Head of Fixed Income Relative Value Research.
Christian Schaller, PhD:
Longtime financial market professional, previously Global Head of Leveraged Investment Strategy at ABN AMRO, and now an independent consultant and trainer for financial institutions.
Who Should Read This Book?
Financial professionals dealing with interest rate derivatives
Fixed income strategists and risk managers
Students and academics studying modern financial products
Anyone needing a practical, detailed resource on the SOFR-linked futures and options market
Why This Book Stands Out
Combines theory, practical application, and real-life market experience.
Offers detailed, worked-through examples with web-access to interactive spreadsheets.
Written by experts with deep industry backgrounds.
Specifically addresses the needs created by the demise of LIBOR and the rise of SOFR as the market standard benchmark.
Publication Details
| Aspect | Information |
|---|
| Title | SOFR Futures and Options |
| Authors | Doug Huggins, Christian Schaller |
| Publisher | Wiley Finance |
| Publication | 2022 |
| Pages | 256 |
| Format | Hardcover, eBook |
In summary, SOFR Futures and Options is a modern, authoritative resource for mastering the new landscape of interest rate derivatives, filled with clear explanations, market insights, and highly practical tools for the SOFR era.
