Mortgages and Markov Chains: A Simplified Evaluation Model

DOI10.1287/MNSC.39.6.683MaRDI QIDQ4274630zbMATH OpenOpenAlexFDO

Authors 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

discrete-time, finite-state Markov chainfinancemortgage- backed securitiessecurity- evaluation methodsstochastic interest-rate modelsstochastic models

Mathematics Subject Classification ID

Economic growth models (91B62)

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• On a generalization of the expected discounted penalty function in a discrete-time insurance risk model
• A COMPLETE YIELD CURVE DESCRIPTION OF A MARKOV INTEREST RATE MODEL
• American option pricing under GARCH by a Markov chain approximation
• Can home-owners benefit from stochastic programming models? A study of mortgage choice in Denmark
• On the structure of the stochastic processes of mortgages in Spain

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