PRICING AND HEDGING PREPAYMENT RISK IN A MORTGAGE PORTFOLIO

DOI10.1142/S0219024922500169zbMath1498.91379arXiv2109.14977OpenAlexW3201762274MaRDI QIDQ5866970

Lech A. Grzelak, Emanuele Casamassima, Frank A. Mulder, Cornelis W. Oosterlee

Publication date: 22 September 2022

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

Full work available at URL: https://arxiv.org/abs/2109.14977

zbMATH Keywords

hedgingmortgagesprepayment riskCPRconditional prepayment rate

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Unnamed Item
• A stochastic partial differential equation model for the pricing of mortgage-backed securities
• BEHAVIORAL VALUE ADJUSTMENTS
• AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES
• Mathematical Modeling and Computation in Finance
• Optimal prepayment of Dutch mortgages*

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