Advances in the Valuation and Management of Mortgage-Backed Securities / Edition 1

Hardcover (Print)
Buy New
Buy New from
Used and New from Other Sellers
Used and New from Other Sellers
from $29.81
Usually ships in 1-2 business days
(Save 80%)
Other sellers (Hardcover)
  • All (12) from $29.81   
  • New (9) from $31.88   
  • Used (3) from $29.81   


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.

Read More Show Less

Product Details

  • ISBN-13: 9781883249526
  • Publisher: Wiley
  • Publication date: 1/15/1999
  • Series: Frank J. Fabozzi Series, #47
  • Edition number: 1
  • Pages: 317
  • Product dimensions: 6.34 (w) x 9.70 (h) x 1.04 (d)

Meet the Author

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.

Read More Show Less

Table of Contents

Contributing Authors.

1. Decomposition of Mortgage Spreads (A. Bhattacharya and I.Koren).

2. Replicating the MBS Index Risk and Return Characteristics UsingProxy Portfolios (A. Majidi).

3. Market Neutral Trading Strategies (G. Hall).

4. Total Return Analysis in CMO Portfolio Management (D. Canuel andC. 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-BackedSecurities (S. Zenios).

8. The Valuation of PAC Bonds Without Complex Models (C. Asness andM. 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 aMulti-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 ValueAnalysis (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, etal.).


Read More Show Less

Customer Reviews

Be the first to write a review
( 0 )
Rating Distribution

5 Star


4 Star


3 Star


2 Star


1 Star


Your Rating:

Your Name: Create a Pen Name or

Barnes & Review Rules

Our reader reviews allow you to share your comments on titles you liked, or didn't, with others. By submitting an online review, you are representing to Barnes & that all information contained in your review is original and accurate in all respects, and that the submission of such content by you and the posting of such content by Barnes & does not and will not violate the rights of any third party. Please follow the rules below to help ensure that your review can be posted.

Reviews by Our Customers Under the Age of 13

We highly value and respect everyone's opinion concerning the titles we offer. However, we cannot allow persons under the age of 13 to have accounts at or to post customer reviews. Please see our Terms of Use for more details.

What to exclude from your review:

Please do not write about reviews, commentary, or information posted on the product page. If you see any errors in the information on the product page, please send us an email.

Reviews should not contain any of the following:

  • - HTML tags, profanity, obscenities, vulgarities, or comments that defame anyone
  • - Time-sensitive information such as tour dates, signings, lectures, etc.
  • - Single-word reviews. Other people will read your review to discover why you liked or didn't like the title. Be descriptive.
  • - Comments focusing on the author or that may ruin the ending for others
  • - Phone numbers, addresses, URLs
  • - Pricing and availability information or alternative ordering information
  • - Advertisements or commercial solicitation


  • - By submitting a review, you grant to Barnes & and its sublicensees the royalty-free, perpetual, irrevocable right and license to use the review in accordance with the Barnes & Terms of Use.
  • - Barnes & reserves the right not to post any review -- particularly those that do not follow the terms and conditions of these Rules. Barnes & also reserves the right to remove any review at any time without notice.
  • - See Terms of Use for other conditions and disclaimers.
Search for Products You'd Like to Recommend

Recommend other products that relate to your review. Just search for them below and share!

Create a Pen Name

Your Pen Name is your unique identity on It will appear on the reviews you write and other website activities. Your Pen Name cannot be edited, changed or deleted once submitted.

Your Pen Name can be any combination of alphanumeric characters (plus - and _), and must be at least two characters long.

Continue Anonymously

    If you find inappropriate content, please report it to Barnes & Noble
    Why is this product inappropriate?
    Comments (optional)