ON THE EXISTENCE OF THE ENDOGENOUS MORTGAGE RATE PROCESS

DOI10.1111/J.1467-9965.2010.00470.XzbMATH Open1278.91173OpenAlexW1621265503MaRDI QIDQ4906523FDOQ4906523

Authors: Yevgeny Goncharov 

Publication date: 28 February 2013

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00470.x

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zbMATH Keywords

fixed-point problemmortgage rateprepayment modeling

Mathematics Subject Classification ID

Credit risk (91G40) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• AN INTENSITY-BASED APPROACH TO THE VALUATION OF MORTGAGE CONTRACTS AND COMPUTATION OF THE ENDOGENOUS MORTGAGE RATE
• Computation of the endogenous mortgage rates with randomized quasi-Monte Carlo simulations
• Computing the endogenous mortgage rate without iterations

Cited In (6)

• When to refinance a mortgage: a dynamic programming approach
• Mortgage valuation and optimal refinancing
• On the design of mortgages and the need for indexation
• Computing the endogenous mortgage rate without iterations
• Endogenous current coupons
• Optimal mortgage refinancing with regime switches

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