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Advances in the Valuation and Management of Mortgage-Backed Securities



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Advances in the Valuation and Management of Mortgage-Backed Securities
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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: 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
Edited by Frank J. Fabozzi
Country of Publication
United States
Frank J. Fabozzi Associates
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