Pricing mortgage-backed securities (MBS)

DOI10.1023/A:1010030113709zbMath1153.91425OpenAlexW2346103196MaRDI QIDQ1000515

Masaaki Kobayashi, Takeaki Kariya

Publication date: 6 February 2009

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1010030113709

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (8)

A stochastic partial differential equation model for the pricing of mortgage-backed securities ⋮ INTENSITY-BASED MODELS FOR PRICING MORTGAGE-BACKED SECURITIES WITH REPAYMENT RISK UNDER A CIR PROCESS ⋮ Analyses of mortgage-backed securities based on unobservable prepayment cost processes ⋮ An optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve ⋮ Pricing default risk in mortgage-backed securities under a regime-switching reduced-form model ⋮ Valuation of mortgage pass-through securities with partial prepayment risk ⋮ Valuation of residential mortgage-backed securities with default risk using an intensity-based approach ⋮ AN INTENSITY-BASED APPROACH TO THE VALUATION OF MORTGAGE CONTRACTS AND COMPUTATION OF THE ENDOGENOUS MORTGAGE RATE

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