Valuation of mortgage-backed securities based on unobservable prepayment costs
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Publication:5692194
DOI10.1007/978-4-431-68450-3_6zbMath1137.60334OpenAlexW161390005MaRDI QIDQ5692194
Hidetoshi Nakagawa, Tomoaki Shouda
Publication date: 27 September 2005
Published in: Advances in Mathematical Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-4-431-68450-3_6
Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (4)
A stochastic partial differential equation model for the pricing of mortgage-backed securities ⋮ Analyses of mortgage-backed securities based on unobservable prepayment cost processes ⋮ Pricing default risk in mortgage-backed securities under a regime-switching reduced-form model ⋮ Valuation of residential mortgage-backed securities with default risk using an intensity-based approach
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