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)

Related Items (9)

Financial planning for Young households ⋮ A multistage stochastic programming asset-liability management model: an application to the Brazilian pension fund industry ⋮ Optimal prepayment of Dutch mortgages* ⋮ A multi-objective multi-period stochastic programming model for public debt management ⋮ Testing the structure of multistage stochastic programs ⋮ Cash management using multi-stage stochastic programming ⋮ Horizon and stages in applications of stochastic programming in finance ⋮ Can home-owners benefit from stochastic programming models? A study of mortgage choice in Denmark ⋮ Mortgage loan portfolio optimization using multi-stage stochastic programming

Uses Software

• GAMS

Cites Work

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• Robust min-max portfolio strategies for rival forecast and risk scenarios
• Asset/liability management under uncertainty for fixed-income securities
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Introduction to Stochastic Programming

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