Optimal prepayment and default rules for mortgage-backed securities
type: Item
instance of: scholarly article
title: Optimal prepayment and default rules for mortgage-backed securities
zbMATH Open document ID: 1202.91316
author: Giulia De Rossi
author: Tiziano Vargiolu
published in: Decisions in Economics and Finance
publication date: 2010-04-26T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 5701503
zbMATH Keywords: computationally simple trees
zbMATH Keywords: hazard function
zbMATH Keywords: mortgage-backed securities
zbMATH Keywords: optimal stopping
zbMATH Keywords: two-dimensional trees
MaRDI profile type: Publication
full work available at URL: s10203-009-0098-3
OpenAlex ID: W2055490754
cites work: Interest rate models -- theory and practice. With smile, inflation and credit
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cites work: AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES
DOI: 10.1007/S10203-009-0098-3
description: scientific article; zbMATH DE number 5701503