Valuation of mortgage pass-through securities with partial prepayment risk

DOI10.1080/03610926.2020.1833222MaRDI QIDQ5093701zbMATH OpenOpenAlexFDO

Authors Congjin Zhou, Liang Liu, Jie Guo, Guojing Wang

Publication date 1 August 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2020.1833222

zbMATH Keywords

mortgagepass-through securitiesprepaymentregime switchingvaluation

Mathematics Subject Classification ID

Statistics (62-XX)

Recommendations

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Cites work

• AMERICAN OPTIONS WITH REGIME SWITCHING
• AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES
• Computing multiple integrals involving matrix exponentials
• Credit risk: Modelling, valuation and hedging
• scientific article; zbMATH DE number 1093829 (Why is no real title available?)
• Intensity-based models for pricing mortgage-backed securities with repayment risk under a CIR process
• INTENSITY‐BASED VALUATION OF RESIDENTIAL MORTGAGES: AN ANALYTICALLY TRACTABLE MODEL
• Mortgage valuation and optimal refinancing
• Pricing mortgage-backed securities (MBS)

Cited in

(3)

• Valuation of mortgage interest deductibility under uncertainty: an option pricing approach
• A HYBRID-FORM MODEL FOR THE PREPAYMENT-RISK-NEUTRAL VALUATION OF MORTGAGE-BACKED SECURITIES
• Analyses of mortgage-backed securities based on unobservable prepayment cost processes

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