Interest Rate, Term Structure, and Valuation Modeling
Considered as the ultimate guide for its combination of theory and practice, this book is a comprehensive guide that covers various aspects of model building for fixed income securities and derivatives. Interest Rate, Term Structure, and Valuation Modeling contains significant valuation models, the lattice model for valuing corporate and agency bonds with embedded options, structured notes, and floating-rate securities. Equipped with expert advice, valuable insights, and advanced modeling techniques, including the Monte Carlo simulation model for valuing mortgage-backed securities and certain asset-backed securities, and multi-scenario grid approach for valuing mortgage-backed securities. This 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.
Topics discussed include:
- A survey of interest rate models and their applications
- Understanding the building blocks of the 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.
Table of Contents
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).