An optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve

DOI10.1016/j.ejor.2005.12.030zbMath1109.90064OpenAlexW2021325551MaRDI QIDQ856302

Yoshitaka Kai, Masao Fukushima, Frank J. Fabozzi, Dashan Huang

Publication date: 7 December 2006

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2005.12.030

zbMATH Keywords

linear programmingstochastic programmingsimulationfinance

Mathematics Subject Classification ID

Linear programming (90C05) Stochastic programming (90C15)

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Uses Software

• SeDuMi

Cites Work

• Pricing mortgage-backed securities (MBS)
• Linear programming: foundations and extensions