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Interest Rate, Term Structure, and Valuation Modeling


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 applications
* Understanding the building blocks of option-adjusted spread
* Deriving the term structure using bootstrapping and spline fitting
* Lattice models and their applications to valuing cash and derivative products
* Valuing structured products
* Multifactor models and their applications
* Measuring interest rate volatility
* 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 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.

FRANK J. FABOZZI, PhD, CFA, is Editor of the Journal of Portfolio Management and an Adjunct Professor of Finance at Yale University's School of Management. Dr. Fabozzi is on the board of directors of the Guardian Life family of funds and the BlackRock complex of funds. He earned a doctorate in economics from the City University of New York in 1972 and, in 1994, received an honorary doctorate of humane letters from Nova Southeastern University. Dr. Fabozzi is a Fellow of the International Center for Finance at Yale University.

Contributing Authors.

SECTION ONE: Interest Rate and Term Structure Modeling.

CHAPTER 1: Interest Rate Models (Oren Cheyette).

CHAPTER 2: The Four Faces of an Interest Rate Model (Peter Fitton and James F. McNatt).

CHAPTER 3: A Review of No Arbitrage Interest Rate Models (Gerald W. Buetow, Frank J. Fabozzi, and James Sochacki).

CHAPTER 4: An Introductory Guide to Analyzing and Interpreting the Yield Curve (Moorad Choudhry).

CHAPTER 5: Term Structure Modeling (David Audley, Richard Chin, and Shrikant Ramamurthy).

CHAPTER 6: A Practical Guide to Swap Curve Construction (Uri Ron).

CHAPTER 7: Fitting the Term Structure of Interest Rates Using the Cubic Spline Methodology (Rod Pienaar and Moorad Choudhry).

CHAPTER 8: Measuring and Forecasting Yield Volatility (Frank J. Fabozzi and Wai Lee).

SECTION TWO: Modeling Factor Risk.

CHAPTER 9: Term Structure Factor Models (Robert C. Kuberek).

CHAPTER 10: Multi-Factor Risk Models and Their Applications (Lev Dynkin and Jay Hyman).

CHAPTER 11: Measuring Plausibility of Hypothetical Interest Rate Shocks (Bennett W. Golub and Leo M. Tilman).

SECTION THREE: Valuation Models.

CHAPTER 12: Understanding the Building Blocks for OAS Models (Philip O. Obazee).

CHAPTER 13: Yield Curves and Valuation Lattices: A Primer (Frank J. Fabozzi, Andrew Kalotay, and Michael Dorigan).

CHAPTER 14: Using the Lattice Model to Value Bonds with Embedded Options, Floaters, Options, and Caps/Floors (Frank J. Fabozzi, Andrew Kalotay, and Michael Dorigan).

CHAPTER 15: Using the Lattice Model to Value Forward Start Swaps and Swaptions (Gerald W. Buetow, Jr. and Frank J. Fabozzi).

CHAPTER 16: Valuing Path-Dependent Securities (C. Douglas Howard).

CHAPTER 17: Monte Carlo Simulation/OAS Approach to Valuing Residential Real Estate-Backed Securities (Frank J. Fabozzi, Scott F. Richard,and David S. Horowitz).

CHAPTER 18: Mortgage Pricing on Low-Dimensional Grids (Alexander Levin).

CHAPTER 19: The Effect of Mean Reversion on the Valuation of Embedded Options and OAS (David Audley and Richard Chin).