Interest Rate, Term Structure, and Valuation Modeling Tapa dura - 2002

Descripción de la solapa

The valuation of fixed income securities and interest rate derivatives-from simple structures to the most complex structures found in the interest rate derivatives market and structured finance sector-depends on the interest rate model and term structure model used by the investor.

Interest Rate, Term Structure, and Valuation Modeling provides a comprehensive, practitioner-oriented treatment of the various models currently available. This accessible guide addresses 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.

This invaluable guide offers an unparalleled blend of theory and practice, which will allow you to increase 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
* Techniques for deriving the term structure
* Lattice models and their applications to valuing cash and derivative products
* Valuing structured products
* Multifactor models and their applications
* Measuring interest rate volatility
* Analyzing and interpreting the yield curve

. . . 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 anyone who needs to understand the critical elements in the valuation of fixed income securities and interest rate derivatives, and the measurement of interest rate risk. Whether you're a portfolio manager, risk professional, or institutional investor, Interest Rate, Term Structure, and Valuation Modeling gives you the tools you need to evaluate the financial products most important to you.