Interest rate, term structure, and valuation modeling /

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Bibliographic Details
Imprint:	Hoboken, N.J. : Wiley, c2002.
Description:	xiii, 514 p. : ill. ; 24 cm.
Language:	English
Series:	The Frank J. Fabozzi series Frank J. Fabozzi series.
Subject:	Fixed-income securities -- Valuation -- Mathematical models. Interest rate futures -- Valuation -- Mathematical models. Derivative securities -- Valuation -- Mathematical models. Interest rates -- Mathematical models. Derivative securities -- Valuation -- Mathematical models. Interest rates -- Mathematical models.
Format:	Print Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/4778028

Hidden Bibliographic Details
Other authors / contributors:	Fabozzi, Frank J.
ISBN:	0471220949
Notes:	Includes bibliographical references and index.

Table of Contents:

Preface
Contributing Authors
Section 1. Interest Rate and Term Structure Modeling
Chapter 1. Interest Rate Models
Chapter 2. The Four Faces of an Interest Rate Model
Chapter 3. A Review of No Arbitrage Interest Rate Models
Chapter 4. An Introductory Guide to Analyzing and Interpreting the Yield Curve
Chapter 5. Term Structure Modeling
Chapter 6. A Practical Guide to Swap Curve Construction
Chapter 7. Fitting the Term Structure of Interest Rates Using the Cubic Spline Methodology
Chapter 8. Measuring and Forecasting Yield Volatility
Section 2. Modeling Factor Risk
Chapter 9. Term Structure Factor Models
Chapter 10. Multi-Factor Risk Models and Their Applications
Chapter 11. Measuring Plausibility of Hypothetical Interest Rate Shocks
Section 3. Valuation Models
Chapter 12. Understanding the Building Blocks for OAS Models
Chapter 13. Yield Curves and Valuation Lattices: A Primer
Chapter 14. Using the Lattice Model to Value Bonds with Embedded Options, Floaters, Options, and Caps/Floors
Chapter 15. Using the Lattice Model to Value Forward Start Swaps and Swaptions
Chapter 16. Valuing Path-Dependent Securities
Chapter 17. Monte Carlo Simulation/OAS Approach to Valuing Residential Real Estate-Backed Securities
Chapter 18. Mortgage Pricing on Low-Dimensional Grids
Chapter 19. The Effect of Mean Reversion on the Valuation of Embedded Options and OAS
Index

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