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.
| ISBN: | 9781883249526 |
| Publication date: | 31st January 1999 |
| Author: | Frank J Fabozzi |
| Publisher: | John Wiley & Sons, Inc. an imprint of Wiley |
| Format: | Hardback |
| Pagination: | 334 pages |
| Series: | Frank J. Fabozzi Series |
| Genres: |
Finance and accounting |