A HYBRID-FORM MODEL FOR THE PREPAYMENT-RISK-NEUTRAL VALUATION OF MORTGAGE-BACKED SECURITIES

DOI10.1142/S0219024908004968zbMath1210.91132MaRDI QIDQ3168861

Andreas Kolbe, Rudi Zagst

Publication date: 27 April 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

intensityproportional hazardrisk-neutral pricingprepaymentmortgage-backed securityOAS

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; economic indices and measures (91B82)

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