Optimal prepayment of Dutch mortgages*

DOI10.1111/J.1467-9574.2007.00349.XMaRDI QIDQ5422018zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

Recommendations

• Optimal prepayment and default rules for mortgage-backed securities
• Optimal payment of mortgages
• AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES
• Valuing mortgage contracts via an option model
• scientific article; zbMATH DE number 1444525

Cites work

• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• 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

This page was built for publication: Optimal prepayment of Dutch mortgages*

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5422018)