A two-factor, stochastic programming model of Danish mortgage-backed securities

DOI10.1016/S0165-1889(03)00115-5zbMath1200.91293OpenAlexW2136165528MaRDI QIDQ953639

Rolf Poulsen, Søren S. Nielsen

Publication date: 6 November 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(03)00115-5

zbMATH Keywords

stochastic programmingmortgage-backed securitiesterm structure modeling

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic programming (90C15) Derivative securities (option pricing, hedging, etc.) (91G20)

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Uses Software

• GAMS

Cites Work

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