Mortgages and Markov Chains: A Simplified Evaluation Model

DOI10.1287/mnsc.39.6.683zbMath0783.90026OpenAlexW2142204842MaRDI QIDQ4274630

Paul Zipkin

Publication date: 2 January 1994

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.39.6.683

zbMATH Keywords

stochastic modelsfinancediscrete-time, finite-state Markov chainmortgage- backed securitiessecurity- evaluation methodsstochastic interest-rate models

Mathematics Subject Classification ID

Economic growth models (91B62)

Related Items (6)

FINANCIAL SIGNAL PROCESSING: A SELF CALIBRATING MODEL ⋮ A COMPLETE YIELD CURVE DESCRIPTION OF A MARKOV INTEREST RATE MODEL ⋮ On a generalization of the expected discounted penalty function in a discrete-time insurance risk model ⋮ American option pricing under GARCH by a Markov chain approximation ⋮ When to refinance a mortgage: a dynamic programming approach ⋮ A time-varying Markov chain model of term structure.

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