Valuation of fixed and variable rate mortgages: binomial tree versus analytical approximations

DOI10.1007/S10203-011-0117-ZMaRDI QIDQ1938899zbMATH OpenOpenAlexFDO

Authors Werner Hürlimann

Publication date 25 February 2013

Published in Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10203-011-0117-z

zbMATH Keywords

CIR modelHull-White modelVasicek modelCallable mortgageprepayment optionrecombining binomial tree

Mathematics Subject Classification ID

Computational methods for problems pertaining to probability theory (60-08) Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60) Microeconomic theory (price theory and economic markets) (91B24) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• scientific article; zbMATH DE number 5145313 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• scientific article; zbMATH DE number 841285 (Why is no real title available?)
• A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
• A parabolic variational inequality arising from the valuation of fixed rate mortgages
• A theory of the term structure of interest rates
• AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES
• An asymptotic method to a financial optimization problem
• An equilibrium characterization of the term structure
• Arbitrage Theory in Continuous Time
• Computationally simple lattice methods for option and bond pricing
• Fixed rate mortgages: valuation and closed form approximations
• LIBOR and swap market models and measures
• Numerical valuation of fixed rate mortgages
• Optimal payment of mortgages
• Optimal prepayment and default rules for mortgage-backed securities
• Option pricing: A simplified approach
• PRICING CALLABLE BONDS BY MEANS OF GREEN'S FUNCTION
• PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
• Polynomial algorithms for pricing path-dependent interest rate instruments
• Pricing interest-rate-derivative securities
• Sensitivities for Bermudan options by regression methods
• The Market Model of Interest Rate Dynamics
• The Valuation of Path Dependent Contracts on the Average
• Valuing American options by simulation: a simple least-squares approach

Cited in

(3)

• One- and multi-factor valuation of mortgages: Computational problems and shortcuts
• ONE- AND MULTI-FACTOR VALUATION OF MORTGAGES: COMPUTATIONAL PROBLEMS AND SHORTCUTS
• Fixed rate mortgages: valuation and closed form approximations

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