OPTIMAL CROSS-CURRENCY MORTGAGE DECISIONS

DOI10.1142/S0219024922500108zbMath1496.91095OpenAlexW4212862689MaRDI QIDQ5088797

No author found.

Publication date: 13 July 2022

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

Full work available at URL: https://doi.org/10.1142/s0219024922500108

zbMATH Keywords

interest rate riskexchange rate riskaffine modelsmortgage portfolio choicequasi-Kalman filter

Mathematics Subject Classification ID

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

Cites Work

• Term-structure models. A graduate course
• Affine processes beyond stochastic continuity
• Discrete Tenor Models for Credit Risky Portfolios Driven by Time-Inhomogeneous Lévy Processes
• An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates
• Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
• OPTIMAL PORTFOLIOS WITH STOCHASTIC SHORT RATE: PITFALLS WHEN THE SHORT RATE IS NON-GAUSSIAN OR THE MARKET PRICE OF RISK IS UNBOUNDED
• Household Risk Management and Optimal Mortgage Choice
• A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
• THE CLASSIFICATION OF TERM STRUCTURE SHAPES IN THE TWO-FACTOR VASICEK MODEL — A TOTAL POSITIVITY APPROACH

This page was built for publication: OPTIMAL CROSS-CURRENCY MORTGAGE DECISIONS