Handbook of Finance: Valuation, Financial Modeling, and Quantitative Tools

REFERENCES

M. Bykhovsky (2006). Overview of recent prepayment behavior and advances in its modeling and valuation. In F. J.Fabozzi (ed.), The Handbook of Mortgage-Backed Securities, 6th edition (pp. 535–554), New York: McGraw Hill.

F. J. Fabozzi (2006). Fixed Income Mathematics, 4th edition. New York: McGraw Hill.

F. J. Fabozzi, A. K. Bhattacharya, and W. S. Berliner (2007). Mortgage-Backed Securities: Products, Structuring, and Analytics Techniques. Hoboken, NJ: John Wiley & Sons.

F. J. Fabozzi, S. Ramamurthy, and L. Gauthier (2000).Analysis of ABS. In F. J.Fabozzi (ed.), Investing in Asset-Backed Securities (pp. 477–496). Hoboken, NJ: John Wiley & Sons.

F. J. Fabozzi, S. F. Richard, and D. S. Horowitz (2006). Valuation of mortgage-backed securities. In F. J.Fabozzi (ed.), The Handbook of Mortgage-Backed Securities, 6th edition (pp. 759–781). New York: McGraw Hill.

L. Gibson (2000). Performance, risk, structure, and valuation of credit sensitive ABS. In F. J.Fabozzi (ed.), Investing in Asset-Backed Securities (pp. 443–556). Hoboken, NJ: John Wiley & Sons.

B. W. Golub (2006). Approaches for measuring the duration of mortgage-related securities. In F. J.Fabozzi (ed.), The Handbook of Mortgage-Backed Securities, 6th Edition (pp. 823–855). New York: McGraw Hill.

A. Kalotay, D. Yang, and F. J. Fabozzi (2004). An option-theoretic prepayment model for mortgages and mortgage-backed securities. International Journal of Theoretical and Applied Finance 7, 8: 949–978.

G. Schultz, C. Flanagan, and ...