AN INTENSITY-BASED APPROACH TO THE VALUATION OF MORTGAGE CONTRACTS AND COMPUTATION OF THE ENDOGENOUS MORTGAGE RATE
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Publication:5487830
DOI10.1142/S0219024906003871zbMATH Open1138.91396MaRDI QIDQ5487830FDOQ5487830
Publication date: 12 September 2006
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Derivative securities (option pricing, hedging, etc.) (91G20) Microeconomic theory (price theory and economic markets) (91B24) General theory of stochastic processes (60G07)
Cites Work
- Elliptic partial differential equations of second order
- On models of default risk.
- Martingales and stochastic integrals in the theory of continuous trading
- Semimartingales: A course on stochastic processes
- Credit risk: Modelling, valuation and hedging
- DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
- Capacity Expansion and Specialization
- Pricing mortgage-backed securities (MBS)
- Title not available (Why is that?)
- Title not available (Why is that?)
Cited In (11)
- BEHAVIORAL VALUE ADJUSTMENTS
- Modeling credit portfolio derivatives, including both a default and a prepayment feature
- ON THE EXISTENCE OF THE ENDOGENOUS MORTGAGE RATE PROCESS
- Valuation of Mortgage-Backed Securities and Mortgage Derivatives: A Closed-Form Approximation
- Explicit formulas for pricing of callable mortgage-backed securities in a case of prepayment rate negatively correlated with interest rates
- Computing the endogenous mortgage rate without iterations
- A stochastic partial differential equation model for the pricing of mortgage-backed securities
- Computation of the endogenous mortgage rates with randomized quasi-Monte Carlo simulations
- A HYBRID-FORM MODEL FOR THE PREPAYMENT-RISK-NEUTRAL VALUATION OF MORTGAGE-BACKED SECURITIES
- Endogenous current coupons
- Intensity-based framework and penalty formulation of optimal stopping problems
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