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Interest Rate, Term Structure, and Valuation Modeling : Frank J. Fabozzi Series - Frank J. Fabozzi

Interest Rate, Term Structure, and Valuation Modeling

Frank J. Fabozzi Series

By: Frank J. Fabozzi (Editor)

Hardcover Published: 18th October 2002
ISBN: 9780471220947
Number Of Pages: 514

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<b>This ultimate guide contains an excellent blend of theory and practice</b> <p> This comprehensive guide covers various aspects of model building for fixed income securities and derivatives. Filled with expert advice, valuable insights, and advanced modeling techniques, <b><i>Interest Rate, Term Structure, and Valuation Modeling</i></b> is a book that all institutional investors, portfolio managers, and risk professionals should have. <p> John Wiley &amp; Sons, Inc. is proud to be the publisher of the esteemed <i>Frank J. Fabozzi Series</i>. Comprising nearly 100 titles-which include numerous bestsellers&#8212;<i>The Frank J. Fabozzi Series</i> is a key resource for finance professionals and academics, strategists and students, and investors. The series is overseen by its eponymous editor, whose expert instruction and presentation of new ideas have been at the forefront of financial publishing for over twenty years. His successful career has provided him with the knowledge, insight, and advice that has led to this comprehensive series. <p> <b>Frank J. Fabozzi</b>, PhD, CFA, CPA, is Editor of the Journal of Portfolio Management, which is read by thousands of institutional investors, as well as editor or author of over 100 books on finance for the professional and academic markets. Currently, Dr. Fabozzi is an adjunct Professor of Finance at Yale University's School of Management and on the board of directors of the Guardian Life family of funds and the Black Rock complex of funds.


Contributing Authors.

SECTION ONE: Interest Rate and Term Structure Modeling.

CHAPTER 1: Interest Rate Models (Oren Cheyette).

CHAPTER 2: The Four Faces of an Interest Rate Model (Peter Fitton and James F. McNatt).

CHAPTER 3: A Review of No Arbitrage Interest Rate Models (Gerald W. Buetow, Frank J. Fabozzi, and James Sochacki).

CHAPTER 4: An Introductory Guide to Analyzing and Interpreting the Yield Curve (Moorad Choudhry).

CHAPTER 5: Term Structure Modeling (David Audley, Richard Chin, and Shrikant Ramamurthy).

CHAPTER 6: A Practical Guide to Swap Curve Construction (Uri Ron).

CHAPTER 7: Fitting the Term Structure of Interest Rates Using the Cubic Spline Methodology (Rod Pienaar and Moorad Choudhry).

CHAPTER 8: Measuring and Forecasting Yield Volatility (Frank J. Fabozzi and Wai Lee).

SECTION TWO: Modeling Factor Risk.

CHAPTER 9: Term Structure Factor Models (Robert C. Kuberek).

CHAPTER 10: Multi-Factor Risk Models and Their Applications (Lev Dynkin and Jay Hyman).

CHAPTER 11: Measuring Plausibility of Hypothetical Interest Rate Shocks (Bennett W. Golub and Leo M. Tilman).

SECTION THREE: Valuation Models.

CHAPTER 12: Understanding the Building Blocks for OAS Models (Philip O. Obazee).

CHAPTER 13: Yield Curves and Valuation Lattices: A Primer (Frank J. Fabozzi, Andrew Kalotay, and Michael Dorigan).

CHAPTER 14: Using the Lattice Model to Value Bonds with Embedded Options, Floaters, Options, and Caps/Floors (Frank J. Fabozzi, Andrew Kalotay, and Michael Dorigan).

CHAPTER 15: Using the Lattice Model to Value Forward Start Swaps and Swaptions (Gerald W. Buetow, Jr. and Frank J. Fabozzi).

CHAPTER 16: Valuing Path-Dependent Securities (C. Douglas Howard).

CHAPTER 17: Monte Carlo Simulation/OAS Approach to Valuing Residential Real Estate-Backed Securities (Frank J. Fabozzi, Scott F. Richard,and David S. Horowitz).

CHAPTER 18: Mortgage Pricing on Low-Dimensional Grids (Alexander Levin).

CHAPTER 19: The Effect of Mean Reversion on the Valuation of Embedded Options and OAS (David Audley and Richard Chin).


ISBN: 9780471220947
ISBN-10: 0471220949
Series: Frank J. Fabozzi Series
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 514
Published: 18th October 2002
Publisher: John Wiley & Sons Inc
Country of Publication: US
Dimensions (cm): 23.6 x 16.4  x 3.9
Weight (kg): 0.91
Edition Number: 1