Advances in the Valuation and Management of Mortgage-Backed Securities

By Frank J. Fabozzi

Book Overview

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.

• Format: Hardcover
• Language: English
• ISBN: 188324952X
• ISBN13: 9781883249526
• Release Date: January 1999
• Publisher: Wiley
• Length: 334 Pages
• Weight: 1.35 lbs.
• Dimensions: 1.0" x 6.6" x 8.8"