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Interest Rate Term Structure And Valuation Modeling 1st Frank J Fabozzi

  • SKU: BELL-1432914
Interest Rate Term Structure And Valuation Modeling 1st Frank J Fabozzi
$ 31.00 $ 45.00 (-31%)

4.7

66 reviews

Interest Rate Term Structure And Valuation Modeling 1st Frank J Fabozzi instant download after payment.

Publisher: Wiley
File Extension: PDF
File size: 5.19 MB
Pages: 530
Author: Frank J. Fabozzi, Frank J. Fabozzi CFA
ISBN: 9780471220947, 9780471446989, 0471220949, 047144698X
Language: English
Year: 2002
Edition: 1st

Product desciption

Interest Rate Term Structure And Valuation Modeling 1st Frank J Fabozzi by Frank J. Fabozzi, Frank J. Fabozzi Cfa 9780471220947, 9780471446989, 0471220949, 047144698X instant download after payment.

Interest Rate, Term Structure, and Valuation Modeling is a valuable practitioner-oriented text that thoroughly reviews the interest rate models and term structure models used today by market professionals and vendors of analytical services.

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:

  • A survey of interest rate models and their applications
  • Understanding the building blocks of option-adjusted spread
  • Deriving the term structure using bootstrapping and spline fitting
  • Lattice models and their applications to valuing cash and derivative products
  • Valuing structured products
  • Multifactor models and their applications
  • Measuring interest rate volatility
  • And much more

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.

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