Advances in the Valuation and Management of Mortgage-Backed Securities
by Frank J. Fabozzi 2021-01-08 10:14:14
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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: decomp... Read more
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. Less
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  • Print pages
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  • Publication date
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  • 9.7 X 6.34 X 1.04 in
  • 317
  • Wiley
  • January 15, 1999
  • English
  • 9781883249526
Frank J. Fabozzi, Ph.D., C.F.A., is editor of the Journal of Portfolio Management, the Frederick Frank Adjunct Professor of Finance at Yale University's School of Management, and one of the world's fo...
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