The definitive MBS guide, with fully updated material on the latest mortgage-backed products, methods, models, and portfolio strategies By providing hands-on information vital to market participants, previous editions of The Handbook of Mortgage-Backed Securities were instrumental in fueling the growth of the mortgage-backed securities market. The sixth edition contains all the elements that made previous editions so successful and influential, and provides you with more than 25 new chapters on topics including collateralized mortgage obligations, prepayment derivatives, loan level determinants of repayments, new approaches to MBS valuation, and a survey of non-U.S. mortgage rates.

The Handbook of Mortgage-Backed Securities

Business & Money

Fabozzi, Frank

Economics

McGraw=Hill

The Definitive Guide to Fixed Income Securities―Revised and Updated for the New Era of Investing For decades, The Handbook of Fixed Income Securities has been the most trusted resource in the world for fixed income investing. Since the publication of the last edition, however, the financial markets have experienced major upheavals, introducing dramatic new opportunities and risks. This completely revised and expanded eighth edition contains 31 new chapters that bring you up to date on the latest products, analytical tools, methodologies, and strategies for identifying and capitalizing on the potential of the fixed income securities market in order to enhance returns. Among the world’s leading authorities on the subject, Frank J. Fabozzi, along with Steven V. Mann, has gathered a powerful global team of leading experts to provide you with the newest and best techniques for taking advantage of this market. New topics include:
<ul>
<li>Electronic trading </li>
<li>Macro-economic dynamics and the corporate bond market </li>
<li>Leveraged loans </li>
<li>Structured and credit-linked notes </li>
<li>Exchange-traded funds </li>
<li>Covered bonds </li>
<li>Collateralized loan obligations </li>
<li>Risk analysis from multifactor fixed income models </li>
<li>High-yield bond portfolio management </li>
<li>Distressed structured credit securities </li>
<li>Hedge fund fixed income strategies </li>
<li>Credit derivatives valuation and risk </li>
<li>Tail risk hedging </li>
<li>Principles of performance attribution</li>
</ul>
Invaluable for its theoretical insights, unsurpassed in its hands-on guidance, and unequaled in the expertise and authority of its contributors, this all-new edition of The Handbook of Fixed Income Securities delivers the information and knowledge you need to stay on top of the market and ahead of the curve.

The Handbook of Fixed Income Securities, Eighth Edition

Mann, Steven

Finance

Fractional Calculus and Fractional Processes with Applications to Financial Economics presents the theory and application of fractional calculus and fractional processes to financial data. Fractional calculus dates back to 1695 when Gottfried Wilhelm Leibniz first suggested the possibility of fractional derivatives. Research on fractional calculus started in full earnest in the second half of the twentieth century. The fractional paradigm applies not only to calculus, but also to stochastic processes, used in many applications in financial economics such as modelling volatility, interest rates, and modelling high-frequency data. The key features of fractional processes that make them interesting are long-range memory, path-dependence, non-Markovian properties, self-similarity, fractal paths, and anomalous diffusion behaviour. In this book, the authors discuss how fractional calculus and fractional processes are used in financial modelling and finance economic theory. It provides a practical guide that can be useful for students, researchers, and quantitative asset and risk managers interested in applying fractional calculus and fractional processes to asset pricing, financial time-series analysis, stochastic volatility modelling, and portfolio optimization.

Fractional Calculus and Fractional Processes with Applications to Financial Economics: Theory and Application

Science & Math

Focardi, Sergio

Fallahgoul, Hasan

Mathematics

Academic Press

For students enrolled in Fixed Income Securities Courses or Bond Markets Courses. A Practical Approach to Analyzing Bond Markets Fabozzi's Bond Markets, Analysis and Strategies offers students practical advice for analyzing bonds and proven portfolio strategies for achieving client objectives. Using an applied approach, Bond Markets helps students quickly grasp and apply key concepts without getting bogged down in theory. The Ninth Edition of Bond Markets introduces students to the state-of-the-art analytical tools and management strategies currently used by financial industry leaders, and uses real-world examples to engage students and help them achieve a deeper understanding of the complex information presented.

Bond Markets, Analysis, and Strategies

Investing

Pearson

The Methods of Distances in the Theory of Probability and Statistics

This book covers the method of metric distances and its application in probability theory and other fields. The method is fundamental in the study of limit theorems and generally in assessing the quality of approximations to a given probabilistic model. The method of metric distances is developed to study stability problems and reduces to  the selection of an ideal or the most appropriate metric for the problem under consideration and a comparison of probability metrics. After describing the basic structure  of probability metrics and providing an analysis of the topologies in the space of probability measures generated by different types of probability metrics, the authors study stability problems by providing a characterization of the ideal metrics for a given problem and investigating the main relationships between different types of probability metrics. The presentation is provided in a general form, although specific cases are considered as they arise in the process of finding supplementary bounds or in applications to important special cases.      Svetlozar T.  Rachev is the Frey Family Foundation Chair of Quantitative Finance, Department of Applied Mathematics and Statistics, SUNY-Stony Brook  and Chief Scientist of Finanlytica, USA. Lev B. Klebanov is a Professor in the Department of Probability and Mathematical Statistics, Charles University, Prague, Czech Republic. Stoyan V. Stoyanov is a Professor at EDHEC Business School and Head of Research, EDHEC-Risk Institute―Asia (Singapore).  Frank J. Fabozzi is a Professor at EDHEC Business School. (USA)

Rachev, Svetlozar T.

Stoyanov, Stoyan V.

Klebanov, Lev

Springer

This book covers the method of metric distances and its application in probability theory and other fields. Its presentation offers specific cases as they arise in the process of finding supplementary bounds or in applications to important special cases.

Rachev, Svetlozar T. T.

Frank Fabozzi and Bruce Collins fully outline the ins and outs of the derivatives process for equity investors in Derivatives and Equity Portfolio Management. A significant investment tool of growing interest, derivatives offer investors options for managing risk in a diversified portfolio. This in-depth guide integrates the derivatives process into portfolio management and is replete with applications from authors with extensive Wall Street experience. Whether you're and individual investor or portfolio manager seeking to improve investment returns, you'll quickly learn about listed equity contracts, using listed options in equity portfolio management, risk management with stock index futures, OTC equity derivatives-and profit from your new found knowledge.

Derivatives and Equity Portfolio Management

Fabozzi CFA, Frank J.

Collins, Bruce M.

wiley

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