Pricing mortgage-backed securities (MBS)
From MaRDI portal
Publication:1000515
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
Related Items
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