MORTGAGE VALUATION MODELS FMASSS C: Embedded Options, Risk, and Uncertainty (Financial Management Association Survey and Synthesis) - Hardcover

Davidson

Hardcover

ISBN 10: 0199998167 ISBN 13: 9780199998166

Verlag: ACADEMIC, 2014

Inhaltsangabe

Valuation of mortgage-backed securities requires blending empirical analysis of borrower behavior and mathematical modeling of interest rates and home prices, with recognition of various prices of risk and uncertainty. This book offers a detailed description of the sophisticated theories and advanced methods used for the real-world valuation of MBS.

Über diesen Titel

Über die Autorin bzw. den Autor

Andrew Davidson is a financial innovator and leader in the development of financial research and analytics. He has worked extensively on mortgage-backed securities product development, valuation, and hedging. He is president of Andrew Davidson & Co., Inc., a New York firm specializing in the application of analytical tools to investment management, which he founded in 1992. He is co-author of the book Securitization: Structuring and Investment Analysis and Mortgage-Backed Securities, Investment Analysis & Valuation Techniques and has written numerous articles that have appeared in The Handbook of Mortgage-Backed Securities, Mortgage-Backed Securities: New Applications and Research and The Journal of Real Estate Finance and Economics. He received an MBA in Finance at the University of Chicago and a BA in Mathematics and Physics at Harvard.



Alex Levin is Director of Financial Engineering at Andrew Davidson & Co., Inc. He has developed innovative and efficient valuation models for MBS, including the Active-Passive Decomposition burnout model, the concept of prepay risk-and-option-adjusted valuation, and the method of Credit OAS and non-Monte Carlo shortcuts. His recent work focuses on the valuation of instruments exposed to credit risk, home-price modeling, and projects related to the MBS crisis. Alex has been a guest speaker at both academic and practitioner events and has published a number of papers. He holds an M.S. in Applied Mathematics from Naval Engineering Institute, Leningrad, and a Ph.D. in Control and Dynamic Systems from Leningrad State University.

Details zur Ausgabe

• Verlag: ACADEMIC
• Erscheinungsdatum: 2014
• Sprache: Englisch
• ISBN 10: 0199998167
• ISBN 13: 9780199998166
• Einband: Gebundene Ausgabe
• Anzahl der Seiten: 464
• Kontakt zum Hersteller: preigu GmbH & Co. KG; mail@preigu.de; ; Lengericher Landstr. 19; Osnabrück; Niedersachsen; 49078; Deutschland