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.

About the Author
Frank J. Fabozzi is a financial consultant, the editor of the Journal of Portfolio Management, and Adjunct Professor of Finance at Yale University's School of Management.


Book Information
ISBN 9781883249526
Author Frank J. Fabozzi
Format Hardback
Page Count 334
Imprint John Wiley & Sons Inc
Publisher John Wiley & Sons Inc
Weight(grams) 608g
Dimensions(mm) 247mm * 161mm * 26mm