Endogenous current coupons

DOI10.1007/s00780-017-0340-8zbMath1422.91687arXiv1510.02010OpenAlexW2962863929MaRDI QIDQ2412391

Zhe Cheng, Scott Robertson

Publication date: 23 October 2017

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1510.02010

zbMATH Keywords

fixed pointsmortgage backed securitiescurrent coupons

Mathematics Subject Classification ID

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

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