Valuation of mortgage-backed securities based upon a structural approach

DOI10.1023/A:1020621327772zbMath1089.91038MaRDI QIDQ1417034

Nobuhiro Nakamura

Publication date: 18 December 2003

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

zbMATH Keywords

structural approachdefault riskprepayment riskMBS

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

A stochastic partial differential equation model for the pricing of mortgage-backed securities ⋮ Analyses of mortgage-backed securities based on unobservable prepayment cost processes ⋮ Pricing default risk in mortgage-backed securities under a regime-switching reduced-form model ⋮ Valuation of residential mortgage-backed securities with default risk using an intensity-based approach

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