Books For Traders
Interest Rate, Term Structure, And Valuation Modeling (514 pages, $89.95 hardcover, 2002, ISBN 0471220949), by Frank J. Fabozzi, published by John Wiley & Sons. The valuation of fixed-income securities
and interest rate derivatives — from simple structures
to the most complex structures found in the interest rate derivatives market and structured finance sector — depends on the interest rate model used by the investor. This work addresses valuation models, structured notes, and floatingrate securities, and more, as well as the multiscenario grid approach for valuing mortgage backed securities.