Valuation of mortgage-backed securities based on unobservable prepayment costs

DOI10.1007/978-4-431-68450-3_6zbMath1137.60334MaRDI QIDQ5692194

Hidetoshi Nakagawa, Tomoaki Shouda

Publication date: 27 September 2005

Published in: Advances in Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-4-431-68450-3_6

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G30: Interest rates, asset pricing, etc. (stochastic models)

91G20: Derivative securities (option pricing, hedging, etc.)

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