Computation of the endogenous mortgage rates with randomized quasi-Monte Carlo simulations
DOI10.1016/J.MCM.2006.11.016zbMATH Open1136.91011OpenAlexW1991170880MaRDI QIDQ2472633FDOQ2472633
Authors: Yevgeny Goncharov, Giray Ökten, M. Shah 
Publication date: 22 February 2008
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.mcm.2006.11.016
Recommendations
Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Fixed-point theorems (47H10)
Cites Work
- An improved low-discrepancy sequence for multidimensional quasi-Monte Carlo integration
- Randomized Halton sequences
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- Good permutations for extreme discrepancy
- Discrépance et diaphonie en dimension un
- Interest rate models -- theory and practice
- Randomized quasi-Monte Carlo methods in pricing securities
- Scrambled net variance for integrals of smooth functions
- AN INTENSITY-BASED APPROACH TO THE VALUATION OF MORTGAGE CONTRACTS AND COMPUTATION OF THE ENDOGENOUS MORTGAGE RATE
- Twisted GFSR generators II
- Title not available (Why is that?)
- Mortgage valuation and optimal refinancing
Cited In (3)
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