Frank J. Fabozzi is a financial consultant, the editor of the Journal of Portfolio Management, and Adjunct Professor of Finance at Yale University's School of Management.
1. Decomposition of Mortgage Spreads (A. Bhattacharya and I. Koren).
2. Replicating the MBS Index Risk and Return Characteristics Using Proxy Portfolios (A. Majidi).
3. Market Neutral Trading Strategies (G. Hall).
4. Total Return Analysis in CMO Portfolio Management (D. Canuel and C. Melchreit).
5. Non-Traded Factors in MBS Portfolio Management (A. Levin and D. Daras).
6. Valuation of CMOs (F. Fabozzi, et al.).
7. Valuation and Portfolio Risk Management with Mortgage-Backed Securities (S. Zenios).
8. The Valuation of PAC Bonds Without Complex Models (C. Asness and M. Smirlock).
9. A Portfolio Manager's Perspective of Inverses and Inverse IOs (W. Leach).
10. Forward Rates and CMO Portfolio Management (C. Asness and J. Beinner).
11. A New Approach to Option-Adjusted Valuation of MBS on a Multi-Scenario Grid (A. Levin).
12. Arbitrage-Free MBS Canonical Decomposition (T. Ho and M. Chen).
13. A Practical Guide to Relative Value for Mortgages (W. Phoa).
14. Hedging Mortgage Passthrough Securities (K. Dunn and R. Sella).
15. An Integrated Approach to Mortgage Hedging and Relative Value Analysis (L. Goodman and J. Ho).
16. Yield Curve Risk of CMO Bonds (M. Schumacher, et al.).
17. Valuation and Analysis of ARMs (S. Mansukhani).
18. Understanding and Valuing Callable REMICs (B. Lancaster, et al.).