Optimal prepayment and default rules for mortgage-backed securities

DOI10.1007/S10203-009-0098-3zbMath1202.91316OpenAlexW2055490754MaRDI QIDQ965782

Tiziano Vargiolu, Giulia De Rossi

Publication date: 26 April 2010

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-009-0098-3

zbMATH Keywords

optimal stoppinghazard functionmortgage-backed securitiescomputationally simple treestwo-dimensional trees

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Valuation of fixed and variable rate mortgages: binomial tree versus analytical approximations

Cites Work

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• Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model
• Interest rate models -- theory and practice. With smile, inflation and credit
• AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES

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