Computing the endogenous mortgage rate without iterations

DOI10.1080/14697680802609485zbMath1182.91175OpenAlexW1964119983MaRDI QIDQ3404100

Yevgeny Goncharov

Publication date: 5 February 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680802609485

zbMATH Keywords

numerical simulationfinancial mathematicsmulti-factor modelsmortgage backed securities

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Endogenous current coupons ⋮ ON THE EXISTENCE OF THE ENDOGENOUS MORTGAGE RATE PROCESS ⋮ Risk and reward of home equity borrowing for investment in Canada, a stochastic analysis

Cites Work

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• Valuation of the early-exercise price for options using simulations and nonparametric regression
• Computation of the endogenous mortgage rates with randomized quasi-Monte Carlo simulations
• Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
• AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• AN INTENSITY-BASED APPROACH TO THE VALUATION OF MORTGAGE CONTRACTS AND COMPUTATION OF THE ENDOGENOUS MORTGAGE RATE

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