meta user
network profile
| bio | website | bionicturtle.com |
|---|---|---|
| location | ||
| age | ||
| visits | member for | 2 years, 2 months |
| seen | May 2 at 5:58 | |
| stats | profile views | 30 |
|
Feb 27 |
awarded | Critic |
|
May 12 |
awarded | Announcer |
|
Jan 29 |
comment |
Can duration gap analysis be applied to mortgages? @Pasha, my recommendation is the text i cited above (Fixed Income Securities by Pietro Veronesi). I learned what i know from Bruce Tuckman's Fixed Income Securities, which is EXCELLENT still after ~10 years. You cannot go wrong with either, both are assigned in FRM. Of course, Fabozzi also has a couple of popular books. |
|
Jan 28 |
answered | what is the best way to calculate the probability of an equity option ending in the money? |
|
Jan 19 |
comment |
Can duration gap analysis be applied to mortgages? @Pasha - To my knowledge, Macaulay duration cannot be applied with mortgages/MBS: the prepayment (an embedded option) implies that maturity varies with yield. I suppose you could try Mac duration = effective * (1+yield/k) but I am unclear to what end and don't see how it can have the traditional "weighted average maturity" definition that works for vanilla bonds (i.e., in a vanilla bond, you actually do weight maturities, but not here). |
|
Jan 19 |
answered | Is Duration really the slope of the Price-Yield curve? |
|
Jan 19 |
comment |
Can duration gap analysis be applied to mortgages? ... I should say, the duration formula is calculating -1/P(r)*slope (slope is the dollar duration, not duration) as this is rise/run: [Price(r+b) - Price(r-b)]/(2*b) |
|
Jan 19 |
awarded | Editor |
|
Jan 19 |
revised |
Can duration gap analysis be applied to mortgages? added 58 characters in body |
|
Jan 19 |
answered | Can duration gap analysis be applied to mortgages? |
|
May 4 |
awarded | Supporter |
|
Mar 26 |
awarded | Teacher |
|
Mar 26 |
answered | What are the main limitations of Black Scholes? |
|
Mar 24 |
comment |
Using Black-Scholes equations to “buy” stocks ... actually, the worst part of the model risk is probably that by using BSM you assume the future asset price is lognormaly distributed |
|
Mar 24 |
answered | Using Black-Scholes equations to “buy” stocks |
