scientific article; zbMATH DE number 5050014

MaRDI QIDQ5482567zbMATH OpenFDO

Authors Hidetoshi Nakagawa, Tomoaki Shouda

Publication date 28 August 2006

zbMATH Keywords

risk-neutral valuationloan pool riskmortgage-backed securities (MBS)prepayment cost

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic models in economics (91B70)

Recommendations

• Analyses of mortgage-backed securities based on unobservable prepayment cost processes
• A prepayment-risk-neutral pricing model for mortgage-backed securities
• Valuation of mortgage-backed securities based on unobservable prepayment costs
• AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES
• A HYBRID-FORM MODEL FOR THE PREPAYMENT-RISK-NEUTRAL VALUATION OF MORTGAGE-BACKED SECURITIES
• Indifference valuation of mortgage-backed securities in the presence of prepayment risk
• Optimal prepayment and default rules for mortgage-backed securities
• A reduced modelling approach to the pricing of mortgage backed securities
• A stochastic partial differential equation model for the pricing of mortgage-backed securities
• Intensity-based models for pricing mortgage-backed securities with repayment risk under a CIR process

Cited in

(11)

• AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES
• Valuation of mortgage-backed securities based upon a structural approach
• A prepayment model for the Japanese mortgage loan market: Prepayment-type-specific parametric model approach
• A HYBRID-FORM MODEL FOR THE PREPAYMENT-RISK-NEUTRAL VALUATION OF MORTGAGE-BACKED SECURITIES
• Bayesian forecasting of prepayment rates for individual pools of mortgages
• Prepayment risk on callable bonds: theory and test
• Analyses of mortgage-backed securities based on unobservable prepayment cost processes
• Modelling the non-linear effects on loan-level prepayment rates: evidence from adjustable-rate equity loans
• Valuation of mortgage-backed securities based on unobservable prepayment costs
• Indifference valuation of mortgage-backed securities in the presence of prepayment risk
• A prepayment-risk-neutral pricing model for mortgage-backed securities

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