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Advances in the Valuation and Management of Mortgage-Backed Securities

Bag om Advances in the Valuation and Management of Mortgage-Backed Securities

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.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9781883249526
  • Indbinding:
  • Hardback
  • Sideantal:
  • 334
  • Udgivet:
  • 31. januar 1999
  • Størrelse:
  • 161x247x26 mm.
  • Vægt:
  • 608 g.
  • 8-11 hverdage.
  • 7. december 2024

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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.

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