Floating-Rate Securities
1st Edition
Published on 30. June 2000
Book
Hardback
234 pages
978-1-883249-65-6 (ISBN)
Description
Floating-Rate Securities is the only complete resource on "floaters" that fills the information void surrounding these complex securities. It explains the basics of floating rate securities, how to value them, techniques to compute spread measures for relative value analysis, and much more.
More details
Series
Language
English
Place of publication
New York
United States
Target group
College/higher education
Professional and scholarly
Product notice
sewn/stitched
Cloth over boards
Dimensions
Height: 240 mm
Width: 161 mm
Thickness: 17 mm
Weight
522 gr
ISBN-13
978-1-883249-65-6 (9781883249656)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Persons
Frank J. Fabozzi is a financial consultant, the editor of the Journal of Portfolio Management, and an Adjunct Professor of Finance at Yale University's School of Management.
Steven V. Mann is an Associate Professor of Finance at the Darla Moore School of Business, University of South Carolina. He is a consultant to investment/commercial banks and has conducted more than sixty training programs for financial institutions throughout the United States.
Steven V. Mann is an Associate Professor of Finance at the Darla Moore School of Business, University of South Carolina. He is a consultant to investment/commercial banks and has conducted more than sixty training programs for financial institutions throughout the United States.
Content
About the Authors.
1. Features and Investment Characteristics of Floaters.
2. The Choice of a Floater's Reference Rate.
3. Introduction to the Valuation of Floaters.
4. Valuing Floaters with Embedded Options.
5. Spread Measures and Spread Duration.
6. Relative Value Analysis Using the Interest Rate Swap Market.
7. Adjustable-Rate Mortgage Passthrough Securities.
8. CMO Floaters.
9. ABS Floaters.
10. Analysis of MBS and ABS Floaters.
11. Inverse Floaters.
Index.
1. Features and Investment Characteristics of Floaters.
2. The Choice of a Floater's Reference Rate.
3. Introduction to the Valuation of Floaters.
4. Valuing Floaters with Embedded Options.
5. Spread Measures and Spread Duration.
6. Relative Value Analysis Using the Interest Rate Swap Market.
7. Adjustable-Rate Mortgage Passthrough Securities.
8. CMO Floaters.
9. ABS Floaters.
10. Analysis of MBS and ABS Floaters.
11. Inverse Floaters.
Index.