Valuation of mortgage pass-through securities with partial prepayment risk

DOI10.1080/03610926.2020.1833222OpenAlexW3094501437MaRDI QIDQ5093701

Congjin Zhou, Liang Liu, Jie Guo, Guo-jing Wang

Publication date: 1 August 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2020.1833222

zbMATH Keywords

regime switchingvaluationmortgageprepaymentpass-through securities

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Pricing mortgage-backed securities (MBS)
• Computing multiple integrals involving matrix exponentials
• INTENSITY-BASED MODELS FOR PRICING MORTGAGE-BACKED SECURITIES WITH REPAYMENT RISK UNDER A CIR PROCESS
• AMERICAN OPTIONS WITH REGIME SWITCHING
• INTENSITY‐BASED VALUATION OF RESIDENTIAL MORTGAGES: AN ANALYTICALLY TRACTABLE MODEL
• AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES
• Credit risk: Modelling, valuation and hedging

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