AN INTENSITY-BASED APPROACH TO THE VALUATION OF MORTGAGE CONTRACTS AND COMPUTATION OF THE ENDOGENOUS MORTGAGE RATE

DOI10.1142/S0219024906003871zbMath1138.91396MaRDI QIDQ5487830

Yevgeny Goncharov

Publication date: 12 September 2006

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

intensitymortgageprepaymentmortgage rateoption-based approach

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) General theory of stochastic processes (60G07) Derivative securities (option pricing, hedging, etc.) (91G20)

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A stochastic partial differential equation model for the pricing of mortgage-backed securities, A HYBRID-FORM MODEL FOR THE PREPAYMENT-RISK-NEUTRAL VALUATION OF MORTGAGE-BACKED SECURITIES, Endogenous current coupons, BEHAVIORAL VALUE ADJUSTMENTS, Explicit formulas for pricing of callable mortgage-backed securities in a case of prepayment rate negatively correlated with interest rates, ON THE EXISTENCE OF THE ENDOGENOUS MORTGAGE RATE PROCESS, Computation of the endogenous mortgage rates with randomized quasi-Monte Carlo simulations, Intensity-based framework and penalty formulation of optimal stopping problems, Computing the endogenous mortgage rate without iterations, Valuation of Mortgage-Backed Securities and Mortgage Derivatives: A Closed-Form Approximation

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