Mortgage Valuation Models: Embedded Options, Risk, and Uncertainty (Financial Management Association Survey and Synthesis) - Hardcover

Davidson, Andrew; Levin, Alexander

Hardcover

ISBN 10: 0199998167 ISBN 13: 9780199998166

Publisher: Oxford University Press, 2014

Synopsis

Valuation of mortgage-backed securities requires blending empirical analysis of borrower behavior and mathematical modeling of interest rates and home prices, with recognition of various prices of risk and uncertainty. This book offers a detailed description of the sophisticated theories and advanced methods used for the real-world valuation of MBS.

About this title

About the Author

Andrew Davidson is a financial innovator and leader in the development of financial research and analytics. He has worked extensively on mortgage-backed securities product development, valuation, and hedging. He is president of Andrew Davidson & Co., Inc., a New York firm specializing in the application of analytical tools to investment management, which he founded in 1992. He is co-author of the books Securitization: Structuring and Investment Analysis and Mortgage-Backed Securities: Investment Analysis & Valuation Techniques. He has also contributed to The Handbook of Mortgage-Backed Securities, Mortgage-Backed Securities: New Applications and Research, and The Journal of Real Estate Finance and Economics. He received an M.B.A. in Finance at the University of Chicago and a B.A. in Mathematics and Physics at Harvard University.

Alexander Levin is Director of Financial Engineering at Andrew Davidson & Co., Inc. He has developed innovative and efficient valuation models for mortgage-backed securities, including the Active-Passive Decomposition burnout model, the concept of prepay risk-and-option-adjusted valuation, and the method of Credit Option-Adjusted Spread and non-Monte Carlo shortcuts. His recent work focuses on the valuation of instruments exposed to credit risk, home-price modeling, and projects related to the MBS crisis. Levin has been a guest speaker at both academic and practitioner events and has published a number of papers. Levin is a recipient of the 2014 Mortgage Banking Magazine's Technology All-Stars award. He holds an M.S. in Applied Mathematics from Naval Engineering Institute, Leningrad, and a Ph.D. in Control and Dynamic Systems from Leningrad State University.

Edition details

• Publisher: Oxford University Press
• Publication date: 2014
• Language: English
• ISBN 10: 0199998167
• ISBN 13: 9780199998166
• Binding: Hardcover
• Edition number: 1
• Number of pages: 464