Valuation of mortgage pass-through securities with partial prepayment risk

DOI10.1080/03610926.2020.1833222OpenAlexW3094501437MaRDI QIDQ5093701FDOQ5093701

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

Recommendations

• Indifference valuation of mortgage-backed securities in the presence of prepayment risk
• Valuation of mortgage-backed securities based on unobservable prepayment costs
• A HYBRID-FORM MODEL FOR THE PREPAYMENT-RISK-NEUTRAL VALUATION OF MORTGAGE-BACKED SECURITIES
• A prepayment-risk-neutral pricing model for mortgage-backed securities
• Pricing and hedging prepayment risk in a mortgage portfolio
• Valuation of mortgage-backed securities based upon a structural approach
• Analyses of mortgage-backed securities based on unobservable prepayment cost processes
• Valuation of residential mortgage-backed securities with default risk using an intensity-based approach
• Valuation of mortgage-backed securities and mortgage derivatives: a closed-form approximation
• AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES

zbMATH Keywords

regime switchingvaluationmortgageprepaymentpass-through securities

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Title not available (Why is that?)
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Credit risk: Modelling, valuation and hedging
• Computing multiple integrals involving matrix exponentials
• INTENSITY‐BASED VALUATION OF RESIDENTIAL MORTGAGES: AN ANALYTICALLY TRACTABLE MODEL
• AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES
• Intensity-based models for pricing mortgage-backed securities with repayment risk under a CIR process
• Pricing mortgage-backed securities (MBS)
• Mortgage valuation and optimal refinancing

Cited In (3)

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

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