(Ebook) Interest rate, term structure, and valuation modeling by Frank J. Fabozzi, Frank J. Fabozzi CFA ISBN 9780471220947, 9780471446989, 0471220949, 047144698X

(Ebook) Interest rate, term structure, and valuation modeling by Frank J. Fabozzi, Frank J. Fabozzi CFA ISBN 9780471220947, 9780471446989, 0471220949, 047144698X

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 applicationsUnderstanding the building blocks of option-adjusted spreadDeriving the term structure using bootstrapping and spline fittingLattice models and their applications to valuing cash and derivative productsValuing structured productsMultifactor models and their applicationsMeasuring interest rate volatilityAnd 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.