Interest Rate, Term Structure, and Valuation Modeling
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 unparallel…
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Produktdetails
Weitere Autoren: Fabozzi, Frank J. (Hrsg.)
- ISBN: 978-0-471-22094-7
- EAN: 9780471220947
- Produktnummer: 8548787
- Verlag: John Wiley & Sons
- Sprache: Englisch
- Erscheinungsjahr: 2002
- Seitenangabe: 530 S.
- Masse: H23.5 cm x B15.7 cm x D3.5 cm 973 g
- Abbildungen: HC gerader Rücken mit Schutzumschlag
- Gewicht: 973
Über den Autor
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.
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