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This accessible guide discusses important valuation models, including the lattice model for valuing corporate and agency bonds with embedded options, structured notes, and floating-rate securities; the Monte Carlo simulation model for valuing mortgage-backed securities and certain asset-backed securities; as well as the multiscenario grid approach for valuing mortgage-backed securities.
Through an unparalleled blend of theory and practice, this comprehensive guide will quickly enhance your knowledge and expertise in this field. Topics discussed include:
Filled with expert advice, keen insights, and advanced modeling techniques, Interest Rate, Term Structure, and Valuation Modeling is a valuable reference source for practitioners who need to understand the critical elements in the valuation of fixed income securities and interest rate derivatives, and the measurement of interest rate risk.
The Securitization Markets Handbook - Structures And Dynamics Of Mortgage- And Asset-Backed Securities Автор: Charles Austin Stone Год: 2005 |
Modelling Fixed Income Securities and Interest Rate Options Автор: Robert Jarrow Год: 2002 |
Issuer Perspectives on Securitization Автор: Frank J. Fabozzi, Frank J. Fabozzi Год: 1997 |
Modeling fixed-income securities and interest rate options Автор: Robert Jarrow Год: 2002 |
The ABCs of IPOs : Investment Strategies and Tactics for New Issue Securities Автор: Robert Anthony Chechile Год: 2004 |
Fixed Income Analysis Автор: Frank J. Fabozzi CFA Год: 2007 |