Contributions of The Journal of Fixed Income to MBS Analysis.
FJ Fabozzi - Journal of Fixed Income, 2022 - search.ebscohost.com
Over the past 31 years, The Journal of Fixed Income has published articles that were
primers about the structure and risk characteristics for the growing number of complex …
primers about the structure and risk characteristics for the growing number of complex …
[PDF][PDF] Interest Rate and Credit Models
A Lesniewski - 2019 - mfe.baruch.cuny.edu
The industry standard for interest rates modeling that has emerged over the past few years is
the LIBOR market model (LMM). Unlike the older approaches (short rate models which we …
the LIBOR market model (LMM). Unlike the older approaches (short rate models which we …
Mortgage Option Deltas
M Landrigan, D Sun - The Journal of Fixed Income, 2014 - search.proquest.com
Mortgage options are European options on TBA contracts that are forwards on securitized
pools of agency-backed mortgages. Because of the significant negative convexity of TBAs …
pools of agency-backed mortgages. Because of the significant negative convexity of TBAs …
[HTML][HTML] An approximate closed formula for European Mortgage Options
AM LOPEZ GALVAN - Trends in Computational and Applied …, 2023 - SciELO Brasil
The aim of this paper is to investigate the use of close formula approximation for pricing
European mortgage options. Under the assumption of logistic duration and normal mortgage …
European mortgage options. Under the assumption of logistic duration and normal mortgage …
Interest Rate Options and Related Products
FJ Fabozzi, SV Mann, M Choudhry - Handbook of Finance, 2008 - Wiley Online Library
Interest rate options and related option‐type products are used by market participants to
control interest rate risk. There are exchange‐traded and over‐the‐counter interest rate …
control interest rate risk. There are exchange‐traded and over‐the‐counter interest rate …