Author | : Frank J. Fabozzi |
Publisher | : John Wiley & Sons |
Total Pages | : 340 |
Release | : 1999-01-15 |
Genre | : Business & Economics |
ISBN | : 9781883249526 |
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.