Advances in the Valuation and Management of Mortgage-Backed
Securities details the latest developments for valuing
mortgage-backed securities and measuring and controlling the
interest rate risk of these securities. Complete coverage includes:
decomposition of mortgage spreads, MBS index replication strategies
and market neutral strategies, Monte Carlo/OAS methodology,
valuation of inverse floaters and ARMs, relative value analysis,
and hedging mortgage instruments against level risk and yield curve
risk.
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