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Equity, Fixed Income, CMO and Other Mortgage Backed Securities

A collection of authoritative reference books on fixed income and equity instruments, derivatives, and portfolio management from some of the most prolific contributors to financial theory and practice.

Bond Portfolio Management
Valuation of Fixed Income Securities and Derivatives
Corporate Bonds: Structures & Analysis
Collateralized Mortgage Obligations: Structures & Analysis
Measuring and Controlling Interest Rate Risk
Asset-Backed Securities
CMO Portfolio Management
The Handbook of Commercial Mortgage-Backed Securities
Dictionary of Financial Risk Management
Valuation of Interest-Sensitive Financial Instruments
The Handbook of Equity Style Management
Whole-Loan CMOs
Modeling the Market: New Theories and Techniques

Bond Portfolio Management

Frank J. Fabozzi

ISBN 1-883249-08-2, 512 pp, 1996, $65. Bond Portfolio Management provides comprehensive coverage of the various aspects of managing a bond portfolio. Coverage of the instruments includes both cash market instruments (bonds and mortgage-backed securities) and derivatives. The state-of-the-art valuation models for bonds with embedded options, mortgage-backed securities, and derivatives are explained and illustrated. Coverage of portfolio strategies includes tax considerations, total return analysis, and measuring and evaluating performance. Topics include:

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Valuation of Fixed Income Securities and Derivatives (Second edition)

Frank J. Fabozzi

ISBN 1-88324-906-6, 260 pp., 1995, $50. Valuation of Fixed Income Securities and Derivatives explains how to value any fixed income instrument or derivative. It begins with the fundamentals of valuation and builds up to the state-of-the art technologies -- the binomial method and Monte Carlo simulation. The author shows how to use the binomial method to value callable bonds, putable bonds, floating-rate notes with caps and floors, range notes, and step-up notes. The valuation of inverse floaters, swaps, options, and convertible securities is also provided. Topics include:

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Corporate Bonds: Structures & Analysis

Richard W. Wilson & Frank J. Fabozzi

ISBN 1-883249-074, 350 pp., 1996, $65. Corporate Bonds: Structures & Analysis provides the most comprehensive coverage of the corporate bond market. Every aspect of corporate bond structures is provided. The state of the-art model for valuing any corporate bond with an interest rate sensitive embedded option such as callable bonds, putable bonds, step-up notes, and range notes is presented and illustrated. Corporate bond portfolio strategies are explained. Topics include

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Collateralized Mortgage Obligations: Structures & Analysis (Second edition)

Frank J. Fabozzi, Chuck Ramsey, and Frank R. Ramirez

ISBN 1-883249-03-1, 267 pp., 1995, $50. Collateralized Mortgage Obligations: Structures & Analysis provides complete coverage of the securities in this sector of the mortgage-backed securities market. The unique feature of this book is that it begins with collateral and systematically shows how various bond classes -- sequential pays, PACs, TACs, floaters/inverses, notional IOs, for example -- are created. This presentation allows for a better understanding of the interaction among the various bond classes in a structure. After the bond classes are presented, the state-of-the techniques for valuing CMO bond classes and measuring their interest rate risk are presented. Other topics include:

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Measuring and Controlling Interest Rate Risk

Frank J. Fabozzi

ISBN 1-883249-09-0, 280+ pp., 1996, $55, Effectively managing a portfolio or trading position requires that the manager be capable of measuring interest rate risk and then utilize cash or derivative instruments to control any unwanted risk. This book explains how to measure level risk and yield curve risk and the various derivative instruments that can be used to control these risks.

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Asset-Backed Securities

Anand K. Bhattacharya and Frank J. Fabozzi (editors)

ISBN ****, 260+ pp., 1996, $75. This book provides comprehensive coverage of the major asset-backed securities, structuring issues, and relative value analysis.

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CMO Portfolio ManagementOUT OF PRINT

Frank J. Fabozzi (editor)

ISBN 1-883249-01-5, 325 pp., 1994, $50. There are many challenges facing the manager of a CMO portfolio. These challenges and the means for effectively managing them are described in CMO Portfolio Management.

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The Handbook of Commercial Mortgage-Backed Securities

Frank J. Fabozzi and David P. Jacob (editors)

ISBN 1-883249-11-2, 280+ pp., 1996, $95. The first comprehensive book about investing in this relatively new and important asset class. The contributors discuss the structures of commercial mortgage-backed securities, prepayment characteristics of mortgage loans, the role of the servicer, relative value analysis, and valuation.

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Dictionary of Financial Risk Management

Gary L. Gastineau and Mark P. Kritzman

ISBN 1-883249-14-7, 325+ pp., 1996, $45. Risk management terminology comes by many markets -- cash, forwards/futures, swaps, options -- and from many disciplines -- economics, probability and statistics, tax and financial accounting, and law. The vocabulary of the risk manager continues to expand with the creation of new products and new concepts. All these words and phrases are carefully defined and illustrated in this comprehensive dictionary.

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Valuation of Interest-Sensitive Financial InstrumentsOUT OF PRINT

David F. Babbel and Craig B. Merrill

ISBN 1-883249-15-5, 260 pp., 1996, $55. This book provides the foundation for understanding the valuation of interest-sensitive financial instruments -- assets and liabilities. These instruments include callable bonds, putable bonds, floating rate securities, and indexed bonds, for example. They also include derivative instruments such as options and futures on fixed income securities, caps, floors, swaps, swaptions, caputs, binary options. The full range of valuation models covered include discrete-time one-factor models, continuous-time one factor models, multi-factor continuous-time models, multi-factor discrete-time models, and simulation approaches.

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The Handbook of Equity Style Management

T. Daniel Coggin and Frank J. Fabozzi (editors)

ISBN 1-883249-05-8, 270 pp., 1995, $50. This is the first book to explicitly and singularly focus on the topic of equity style management. Topics included are equity style betas, equity style benchmark portfolios, equity completion funds, tactical style management, and foreign equity style management.

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Whole-Loan CMOsOUT OF PRINT

Frank J. Fabozzi, Chuck Ramsey, and Frank R. Ramirez (editors)

ISBN 1-883249-04-X, 297 pp., 1996, $55. The dominate types of collateralized mortgage obligations outstanding are agency-backed CMOs. Today, an equally important sector of the CMO market is the market for whole-loan or nonagency CMOs. Whole-Loan CMOs provides comprehensive coverage of this new market sector. The contributors to this volume explain the unique investment characteristics of whole-loan CMOs, how to assess the credit quality of whole-loan CMO structures, and the prepayment characteristics of whole-loans CMOs. Coverage includes:

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Modeling the Market: New Theories and Techniques

Sergio Focardi and Caroline Jonas

ISBN ****, 180+ pp., 1996, $55. Investment management performance depends on the ability to make forecasts. Under the neoclassical equilibrium theory, forecasting is limited by market-efficiency constraints. A new generation of financial theories is beginning to capture the decision-making process of intelligent agents who are forecasting the fine details of financial markets. These theoretical changes are producing new financial models based on simulation and adaptive computational methods. The authors describe the path from realizations of neoclassical finance to new theories, and explores the trade-offs between market efficiency and the technology of forecasting for investment management.

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