Explicit formulas for pricing of callable mortgage-backed securities in a case of prepayment rate negatively correlated with interest rates
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Publication:432394
DOI10.1016/j.jmaa.2012.03.057zbMath1245.91096MaRDI QIDQ432394
Sen Wu, Xiao-Song Qian, Li-Shang Jiang, Cheng-long Xu
Publication date: 4 July 2012
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2012.03.057
91G30: Interest rates, asset pricing, etc. (stochastic models)
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Cites Work
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- Stochastic calculus for finance. II: Continuous-time models.
- Two singular diffusion problems
- A Theory of the Term Structure of Interest Rates
- A parabolic variational inequality arising from the valuation of fixed rate mortgages
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