Intensity-based models for pricing mortgage-backed securities with repayment risk under a CIR process (Q2892979)
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scientific article; zbMATH DE number 6049606
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Intensity-based models for pricing mortgage-backed securities with repayment risk under a CIR process |
scientific article; zbMATH DE number 6049606 |
Statements
25 June 2012
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prepayment
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path-dependent
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explicit characteristics difference
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0.88099456
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0.8790454
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0.8751315
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0.87502325
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0.86370003
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0.86275095
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Intensity-based models for pricing mortgage-backed securities with repayment risk under a CIR process (English)
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