Optimal prepayment of Dutch mortgages*

DOI10.1111/J.1467-9574.2007.00349.XzbMATH Open1158.91383OpenAlexW2012121652MaRDI QIDQ5422018FDOQ5422018

Authors: Bart Kuijpers, Peter C. Schotman 

Publication date: 26 October 2007

Published in: Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL: https://cris.maastrichtuniversity.nl/en/publications/b37130fd-2bd8-4493-805e-7c24a8d301d5

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Mathematics Subject Classification ID

Cites Work

• Title not available (Why is that?)
• A two-factor, stochastic programming model of Danish mortgage-backed securities

Cited In (7)

• Pricing and hedging prepayment risk in a mortgage portfolio
• Prepayment option of a perpetual corporate loan: the impact of the funding costs
• Optimal payment of mortgages
• Prepayment risk on callable bonds: theory and test
• Valuation of fixed and variable rate mortgages: binomial tree versus analytical approximations
• Intensity-based framework and penalty formulation of optimal stopping problems
• Optimal prepayment and default rules for mortgage-backed securities

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