An optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve

DOI10.1016/J.EJOR.2005.12.030zbMATH Open1109.90064OpenAlexW2021325551MaRDI QIDQ856302FDOQ856302

Authors: Dashan Huang, Yoshitaka Kai, Frank J. Fabozzi, Masao Fukushima 

Publication date: 7 December 2006

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2005.12.030

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zbMATH Keywords

linear programmingsimulationfinancestochastic programming

Mathematics Subject Classification ID

Linear programming (90C05) Stochastic programming (90C15)

Cites Work

• Linear programming: foundations and extensions
• Pricing mortgage-backed securities (MBS)

Cited In (2)

• On the design of mortgages and the need for indexation
• Financial Giffen goods: Examples and counterexamples

Uses Software

• SeDuMi

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