Fabozzi Interest Rate, Term Structure, and Valuation Modeling

1. Auflage 2002
ISBN: 978-0-471-44698-9
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 514 Seiten, E-Book

Reihe: Frank J. Fabozzi Series

This ultimate guide contains an excellent blend of theory andpractice
This comprehensive guide covers various aspects of modelbuilding for fixed income securities and derivatives. Filled withexpert advice, valuable insights, and advanced modeling techniques,Interest Rate, Term Structure, and Valuation Modelingis a book that all institutional investors, portfolio managers, andrisk professionals should have.
John Wiley & Sons, Inc. is proud to be the publisher of theesteemed Frank J. Fabozzi Series. Comprising nearly 100titles-which include numerous bestsellers--The Frank J.Fabozzi Series is a key resource for finance professionals andacademics, strategists and students, and investors. The series isoverseen by its eponymous editor, whose expert instruction andpresentation of new ideas have been at the forefront of financialpublishing for over twenty years. His successful career hasprovided him with the knowledge, insight, and advice that has ledto this comprehensive series.
Frank J. Fabozzi, PhD, CFA, CPA, is Editor of the Journalof Portfolio Management, which is read by thousands ofinstitutional investors, as well as editor or author of over 100books on finance for the professional and academic markets.Currently, Dr. Fabozzi is an adjunct Professor of Finance at YaleUniversity's School of Management and on the board of directors ofthe Guardian Life family of funds and the Black Rock complex offunds.

Autoren/Hrsg.

Fabozzi, Frank J.

Inhaltsverzeichnis

Preface.
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 Fittonand 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 theYield Curve (Moorad Choudhry).
CHAPTER 5: Term Structure Modeling (David Audley, Richard Chin, andShrikant Ramamurthy).
CHAPTER 6: A Practical Guide to Swap Curve Construction (UriRon).
CHAPTER 7: Fitting the Term Structure of Interest Rates Using theCubic 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 (LevDynkin and Jay Hyman).
CHAPTER 11: Measuring Plausibility of Hypothetical Interest RateShocks (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 EmbeddedOptions, Floaters, Options, and Caps/Floors (Frank J. Fabozzi,Andrew Kalotay, and Michael Dorigan).
CHAPTER 15: Using the Lattice Model to Value Forward Start Swapsand Swaptions (Gerald W. Buetow, Jr. and Frank J. Fabozzi).
CHAPTER 16: Valuing Path-Dependent Securities (C. DouglasHoward).
CHAPTER 17: Monte Carlo Simulation/OAS Approach to ValuingResidential Real Estate-Backed Securities (Frank J. Fabozzi, ScottF. Richard,and David S. Horowitz).
CHAPTER 18: Mortgage Pricing on Low-Dimensional Grids (AlexanderLevin).
CHAPTER 19: The Effect of Mean Reversion on the Valuation ofEmbedded Options and OAS (David Audley and Richard Chin).
INDEX.

Über Autor(innen)

FRANK J. FABOZZI, PhD, CFA, is Editor of the Journal of Portfolio Management and an Adjunct Professor of Finance at Yale University's School of Management. Dr. Fabozzi is on the board of directors of the Guardian Life family of funds and the BlackRock complex of funds. He earned a doctorate in economics from the City University of New York in 1972 and, in 1994, received an honorary doctorate of humane letters from Nova Southeastern University. Dr. Fabozzi is a Fellow of the International Center for Finance at Yale University.