Interest Rate, Term Structure, and Valuation Modeling

Interest Rate, Term Structure, and valuation modeling......Page 3
contents......Page 7
Preface......Page 11
Contributing Authors......Page 15
SECTION ONE Interest Rate and Term Structure Modeling......Page 17
CHAPTER 1 Interest Rate Models......Page 19
CHAPTER 2 The Four Faces of an Interest Rate Model......Page 43
CHAPTER 3 A Review of No Arbitrage Interest Rate Models......Page 55
CHAPTER 4 An Introductory Guide to Analyzing and Interpreting the Yield Curve......Page 89
CHAPTER 5 Term Structure Modeling......Page 109
CHAPTER 6 A Practical Guide to Swap Curve Construction......Page 153
CHAPTER 7 Fitting the Term Structure of Interest Rates Using the Cubic Spline Methodology......Page 173
CHAPTER 8 Measuring and Forecasting Yield Volatility......Page 203
SECTION TWO Modeling Factor Risk......Page 229
CHAPTER 9 Term Structure Factor Models......Page 231
CHAPTER 10 Multi-Factor Risk Models and Their Applications......Page 257
CHAPTER 11 Measuring Plausibility of Hypothetical Interest Rate Shocks......Page 311
SECTION THREE Valuation Models......Page 329
CHAPTER 12 Understanding the Building Blocks for OAS Models......Page 331
CHAPTER 13 Yield Curves and Valuation Lattices: A Primer......Page 361
CHAPTER 14 Using the Lattice Model to Value Bonds with Embedded Options, Floaters, Options, and Caps/Floors......Page 373
CHAPTER 15 Using the Lattice Model to Value Forward Start Swaps and Swaptions......Page 395
CHAPTER 16 Valuing Path-Dependent Securities......Page 437
CHAPTER 17 Monte Carlo Simulation/OAS Approach to Valuing Residential Real Estate-Backed Securities......Page 459
CHAPTER 18 Mortgage Pricing on Low-Dimensional Grids......Page 485
CHAPTER 19 The Effect of Mean Reversion on the Valuation of Embedded Options and OAS......Page 505
INDEX......Page 515