Stochastic programming for funding mortgage pools

DOI10.1080/14697680601065566zbMath1278.91143OpenAlexW2037432497MaRDI QIDQ3593603

Gerd Infanger

Publication date: 23 July 2007

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

Full work available at URL: https://doi.org/10.1080/14697680601065566

zbMATH Keywords

stochastic programmingfundingmortgage pools

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Stochastic programming (90C15) Portfolio theory (91G10)

Uses Software

• CPLEX
• GAMS
• DECIS

Cites Work

• Unnamed Item
• Parallel processors for planning under uncertainty
• A stochastic programming model for money management
• Monte Carlo (importance) sampling within a Benders decomposition algorithm for stochastic linear programs
• A model for portfolio management with mortgage-backed securities
• A Theory of the Term Structure of Interest Rates
• Stochastic Network Programming for Financial Planning Problems
• Stochastic Dedication: Designing Fixed Income Portfolios Using Massively Parallel Benders Decomposition
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• Applications of Stochastic Programming

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