Explicit formulas for pricing of callable mortgage-backed securities in a case of prepayment rate negatively correlated with interest rates

DOI10.1016/J.JMAA.2012.03.057zbMath1245.91096OpenAlexW2078484615MaRDI QIDQ432394

Sen Wu, Xiao-Song Qian, Li-Shang Jiang, Cheng-long Xu

Publication date: 4 July 2012

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2012.03.057

zbMATH Keywords

mortgage-backed securitiesprepayment factorprepayment riskreduced form model

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (1)

Pricing default risk in mortgage-backed securities under a regime-switching reduced-form model

Cites Work

• Stochastic calculus for finance. II: Continuous-time models.
• Two singular diffusion problems
• A Theory of the Term Structure of Interest Rates
• A parabolic variational inequality arising from the valuation of fixed rate mortgages
• Valuation and Analysis of Collateralized Mortgage Obligations
• AN INTENSITY-BASED APPROACH TO THE VALUATION OF MORTGAGE CONTRACTS AND COMPUTATION OF THE ENDOGENOUS MORTGAGE RATE
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