INTENSITY-BASED MODELS FOR PRICING MORTGAGE-BACKED SECURITIES WITH REPAYMENT RISK UNDER A CIR PROCESS

DOI10.1142/S0219024912500215zbMath1241.91127OpenAlexW1984714474MaRDI QIDQ2892979

Sen Wu, Jin Liang, Li-Shang Jiang

Publication date: 25 June 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024912500215

zbMATH Keywords

prepaymentpath-dependentexplicit characteristics difference

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for boundary value problems involving PDEs (65N06) Credit risk (91G40)

Related Items (4)

Valuation of mortgage pass-through securities with partial prepayment risk ⋮ Partial differential equation pricing method for double-name credit-linked notes with counterparty risk in a reduced-form model with common shocks ⋮ On a Flexible Loan Repayment Method Depending on Borrower’s Asset with an Early Termination Clause ⋮ Counterparty risk valuation on credit-linked notes under a Markov chain framework

Cites Work

• Pricing mortgage-backed securities (MBS)
• A parabolic variational inequality arising from the valuation of fixed rate mortgages
• PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Convergence of Binomial Tree Methods for European/American Path-Dependent Options
• The spectral representation of Bessel processes with constant drift: applications in queueing and finance

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