Computing the endogenous mortgage rate without iterations

DOI10.1080/14697680802609485MaRDI QIDQ3404100zbMATHOpenAlexFDO

Authors Yevgeny Goncharov

Publication date 5 February 2010

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680802609485

zbMATH Keywords

financial mathematicsnumerical simulationmulti-factor modelsmortgage backed securities

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Computation of the endogenous mortgage rates with randomized quasi-Monte Carlo simulations
• ON THE EXISTENCE OF THE ENDOGENOUS MORTGAGE RATE PROCESS
• AN INTENSITY-BASED APPROACH TO THE VALUATION OF MORTGAGE CONTRACTS AND COMPUTATION OF THE ENDOGENOUS MORTGAGE RATE
• An integral equation approach to pricing fixed rate mortgages
• Interest rate modeling without probabilities
• Numerical valuation of fixed rate mortgages
• Adjustable and fixed interest rates mortgage markets modelling
• scientific article; zbMATH DE number 5524410
• A new numerical method for pricing fixed-rate mortgages with prepayment and default options
• Numerical method for solving free boundary problem arising from fixed rate mortgages

Cites work

• AN INTENSITY-BASED APPROACH TO THE VALUATION OF MORTGAGE CONTRACTS AND COMPUTATION OF THE ENDOGENOUS MORTGAGE RATE
• AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES
• Computation of the endogenous mortgage rates with randomized quasi-Monte Carlo simulations
• Mortgage valuation and optimal refinancing
• Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
• Valuation of the early-exercise price for options using simulations and nonparametric regression
• Valuing American options by simulation: a simple least-squares approach

Cited in

(6)

• Risk and reward of home equity borrowing for investment in Canada, a stochastic analysis
• Computation of the endogenous mortgage rates with randomized quasi-Monte Carlo simulations
• ON THE EXISTENCE OF THE ENDOGENOUS MORTGAGE RATE PROCESS
• ONE- AND MULTI-FACTOR VALUATION OF MORTGAGES: COMPUTATIONAL PROBLEMS AND SHORTCUTS
• AN INTENSITY-BASED APPROACH TO THE VALUATION OF MORTGAGE CONTRACTS AND COMPUTATION OF THE ENDOGENOUS MORTGAGE RATE
• Endogenous current coupons

This page was built for publication: Computing the endogenous mortgage rate without iterations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3404100)