Computation of the endogenous mortgage rates with randomized quasi-Monte Carlo simulations

DOI10.1016/J.MCM.2006.11.016MaRDI QIDQ2472633zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

prepaymentmortgage ratesrandomized quasi Monte Carlo

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Fixed-point theorems (47H10)

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Cites work

• scientific article; zbMATH DE number 53679 (Why is no real title available?)
• scientific article; zbMATH DE number 1790449 (Why is no real title available?)
• AN INTENSITY-BASED APPROACH TO THE VALUATION OF MORTGAGE CONTRACTS AND COMPUTATION OF THE ENDOGENOUS MORTGAGE RATE
• An improved low-discrepancy sequence for multidimensional quasi-Monte Carlo integration
• Discrépance et diaphonie en dimension un
• Good permutations for extreme discrepancy
• Interest rate models -- theory and practice
• Mortgage valuation and optimal refinancing
• Randomized Halton sequences
• Randomized quasi-Monte Carlo methods in pricing securities
• Scrambled net variance for integrals of smooth functions
• Twisted GFSR generators II

Cited in

(3)

• ON THE EXISTENCE OF THE ENDOGENOUS MORTGAGE RATE PROCESS
• Computing the endogenous mortgage rate without iterations
• Generalized von Neumann-Kakutani transformation and random-start scrambled Halton sequences

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