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Mortgage hedging in fixed income markets
Malkhozov, Aytek / Mueller, Philippe / Vedolin, Andrea / Venter, Gyuri
fixed income / interest ratesResource overview

Mortgage hedging in fixed income markets

Paper2013

by Malkhozov, Aytek, Mueller, Philippe, Vedolin, Andrea, Venter, Gyuri

Tags
fixed incomeinterest ratesmortgage marketsterm structure models

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Suggested foundations for rates and fixed income. Specialist prerequisites vary by paper.

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  1. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

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  1. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

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