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Advances in the Valuation and Management of Mortgage-Backed Securities

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Description

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.

Author Biography:

Frank J. Fabozzi is a financial consultant, the editor of the Journal of Portfolio Management, and Adjunct Professor of Finance at Yale University's School of Management.
Release date NZ
January 31st, 1999
Audiences
  • Postgraduate, Research & Scholarly
  • Professional & Vocational
  • Undergraduate
Contributor
  • Edited by Frank J. Fabozzi
Pages
334
Dimensions
161x247x26
ISBN-13
9781883249526
Product ID
3086597

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