Interest Rate, Term Structure, and Valuation Modeling

✍ Scribed by Frank J. Fabozzi

• Year: 2002
• Tongue: English
• Leaves: 530
• Edition: 1st
• Category: Library

✦ Synopsis

This ultimate guide contains an excellent blend of theory and practiceThis comprehensive guide covers various aspects of model building for fixed income securities and derivatives. Filled with expert advice, valuable insights, and advanced modeling techniques, Interest Rate, Term Structure, and Valuation Modeling is a book that all institutional investors, portfolio managers, and risk professionals should have.John Wiley & Sons, Inc. is proud to be the publisher of the esteemed Frank J. Fabozzi Series. Comprising nearly 100 titles-which include numerous bestsellers—The Frank J. Fabozzi Series 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.Frank J. Fabozzi, 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.

✦ Table of Contents

Interest Rate, Term Structure, and valuation modeling......Page 3
contents......Page 7
Preface......Page 11
Contributing Authors......Page 15
SECTION ONE Interest Rate and Term Structure Modeling......Page 17
CHAPTER 1 Interest Rate Models......Page 19
CHAPTER 2 The Four Faces of an Interest Rate Model......Page 43
CHAPTER 3 A Review of No Arbitrage Interest Rate Models......Page 55
CHAPTER 4 An Introductory Guide to Analyzing and Interpreting the Yield Curve......Page 89
CHAPTER 5 Term Structure Modeling......Page 109
CHAPTER 6 A Practical Guide to Swap Curve Construction......Page 153
CHAPTER 7 Fitting the Term Structure of Interest Rates Using the Cubic Spline Methodology......Page 173
CHAPTER 8 Measuring and Forecasting Yield Volatility......Page 203
SECTION TWO Modeling Factor Risk......Page 229
CHAPTER 9 Term Structure Factor Models......Page 231
CHAPTER 10 Multi-Factor Risk Models and Their Applications......Page 257
CHAPTER 11 Measuring Plausibility of Hypothetical Interest Rate Shocks......Page 311
SECTION THREE Valuation Models......Page 329
CHAPTER 12 Understanding the Building Blocks for OAS Models......Page 331
CHAPTER 13 Yield Curves and Valuation Lattices: A Primer......Page 361
CHAPTER 14 Using the Lattice Model to Value Bonds with Embedded Options, Floaters, Options, and Caps/Floors......Page 373
CHAPTER 15 Using the Lattice Model to Value Forward Start Swaps and Swaptions......Page 395
CHAPTER 16 Valuing Path-Dependent Securities......Page 437
CHAPTER 17 Monte Carlo Simulation/OAS Approach to Valuing Residential Real Estate-Backed Securities......Page 459
CHAPTER 18 Mortgage Pricing on Low-Dimensional Grids......Page 485
CHAPTER 19 The Effect of Mean Reversion on the Valuation of Embedded Options and OAS......Page 505
INDEX......Page 515