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Advances in the Valuation and Management of Mortgage-Backed Securities
part of the Frank J. Fabozzi Series series
- Binding:
- Hardback
- Pages:
- 334
- Published:
- January 30, 1999
- Dimensions:
- 161x247x26 mm.
- Weight:
- 608 g.
Delivery:
2-4 weeks
Expected delivery: November 29, 2024
Description of Advances in the Valuation and Management of Mortgage-Backed Securities
Advances in the Valuation and Management of Mortgage-Backed Securities details the latest developments for valuing mortgage-backed securities and measuring and controlling the interest rate risk of these securities. Complete coverage includes: decomposition of mortgage spreads, MBS index replication strategies and market neutral strategies, Monte Carlo/OAS methodology, valuation of inverse floaters and ARMs, relative value analysis, and hedging mortgage instruments against level risk and yield curve risk.
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