Mortgage bible

zward25 · June 23rd, 2011, 2:45 pm

Hey guys, looking for a good mortgage reference book with good practitioner/modelling infromation. Is there mortgage book held in equivalent esteem as Hull's book is to derivative pricing?The Handbook of Mortgage-Backed Securities by Fabozzi I've heard is good. Its a pretty thick one and may be more than I'm looking for though.Thanks,Zach

Costeanu · June 24th, 2011, 12:24 am

It's probably less than what you are looking for, but it's a good start. As for Hull's book, I'm not sure who holds it in such high esteem. If you want a real good benchmark, that's Andersen and Piterbarg.

quantmeh · June 24th, 2011, 5:18 pm

Fabozzi is one, and Hayre's red book is another.

frattyquant · June 28th, 2011, 8:38 am

Theres a lot of really good sell side pdfs floating around the internet, especiallly on transputer/finengineer if you can still find them. I found those to be way better than any "text". From what I remember Fabozzi is basically at MBA level - the mathematics isnt much more than plus and minus.

ThinkDifferent · June 28th, 2011, 4:34 pm

QuoteOriginally posted by: CosteanuIt's probably less than what you are looking for, but it's a good start. As for Hull's book, I'm not sure who holds it in such high esteem. If you want a real good benchmark, that's Andersen and Piterbarg.that's a bit of a stretch given that their book was published just a year ago.

quantmeh · July 5th, 2011, 2:14 pm

QuoteOriginally posted by: frattyquantFrom what I remember Fabozzi is basically at MBA level - the mathematics isnt much more than plus and minus.in mortgages field mathematics is last you need. what you really need is to understand how the mortgage thing works, little things like points and prepay penalties, judicial foreclosure process etc.

frattyquant · July 5th, 2011, 2:21 pm

QuoteOriginally posted by: quantmehQuoteOriginally posted by: frattyquantFrom what I remember Fabozzi is basically at MBA level - the mathematics isnt much more than plus and minus.in mortgages field mathematics is last you need. what you really need is to understand how the mortgage thing works, little things like points and prepay penalties, judicial foreclosure process etc.That's true! I once looked at a prospectus that was like 1000 pages long. I still think you need a fair amout of maths to understanding prepayment modelling.

quantmeh · July 5th, 2011, 5:11 pm

QuoteOriginally posted by: frattyquantI still think you need a fair amout of maths to understanding prepayment modelling.not math, really, but econometrics. still, before you even start on maths, there's a lot of reading involved, which has no math at all

frattyquant · July 5th, 2011, 6:58 pm

QuoteOriginally posted by: quantmehQuoteOriginally posted by: frattyquantI still think you need a fair amout of maths to understanding prepayment modelling.not math, really, but econometrics. still, before you even start on maths, there's a lot of reading involved, which has no math at all True - I use "math" and "econometrics" interchangeably, maybe I shouldn't.

gerushto · July 8th, 2011, 7:29 pm

The mortgage guys I work with have Fabozzi on their desk. I don't recall their being any books on prepayment models. Most of the literature is US centric anyway. Mortgage loan data is pretty hard to get hold of and also horrible in terms of data quality and consistency

quantmeh · July 10th, 2011, 7:14 pm

QuoteOriginally posted by: gerushtoI don't recall their being any books on prepayment models.none. they're covered here and there, but nothing like a reference book. one has to read papers. luckily, there arent many out there.