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Interest rate models / Oren Cheyette -- The four faces of an interest rate model / Peter Fitton and James F. McNatt -- A review of no arbitrage interest rate models / Gerald W. Buetow, Frank J. Fabozzi, and James Sochacki -- An introductory guide to analyzing and interpreting the yield curve / Moorad Choudhry -- Term structure modeling / David Audley, Richard Chin, and Shrikant Ramamurthy -- A practical guide to swap curve construction / Uri Ron -- Fitting the term structure of interest rates using the cubic spline methodology / Rod Pienaar and Moorad Choudhry -- Measuring and forecasting yield volatility / Frank J. Fabozzi and Wai Lee -- Term structure factor models / Robert C. Kuberek -- Multi-factor risk models and their applications / Lev Dynkin and Jay Hyman -- Measuring plausibility of hypothetical interest rate shocks / Bennett W. Golub and Leo M. Tilman -- Understanding the building blocks for OAS models / Philip O. Obazee -- Yield curves and valuation lattices : a primer / Frank J. Fabozzi, Andrew Kalotay, and Michael Dorigan -- Using the lattice model to value bonds with embedded options, floaters, options, and caps/floors / Frank J. Fabozzi, Andrew Kalotay, and Michael Dorigan -- Using the lattice model to value forward start swaps and swaptions / Gerald W. Buetow, Jr. and Frank J. Fabozzi -- Valuing path-dependent securities / C. Douglas Howard -- Monte Carlo simulation/OAS approach to valuing residential real estate-backed securities / Frank J. Fabozzi, Scott F. Richard, and David S. Horowitz -- Mortgage pricing on low-dimensional grids / Alexander Levin -- The effect of mean reversion on the valuation of embedded options and OAS / David Audley and Richard Chin.
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