Optimal prepayment and default rules for mortgage-backed securities
Year of publication: |
2010
|
---|---|
Authors: | De Rossi, Giulia ; Vargiolu, Tiziano |
Published in: |
Decisions in economics and finance : DEF ; a journal of applied mathematics. - Milano : Springer, ISSN 1593-8883, ZDB-ID 2040574-1. - Vol. 33.2010, 1, p. 23-47
|
Subject: | Hypothek | Mortgage | Asset-Backed Securities | Asset-backed securities | Hedging | Finanzmathematik | Mathematical finance |
-
Mortgage valuation models : embedded options, risk, and uncertainty
Davidson, Andrew S., (2014)
-
Mortgage security hedging and the yield curve
Fernald, Julia Dana, (1994)
-
Dynamic cross hedging with mortgage-backed securities
Koutmos, Gregory, (1998)
- More ...
-
Optimal Portfolio for CRRA Utility Functions when Risky Assets are Exponential Additive Processes
Pasin, Laura, (2010)
-
Shortfall risk minimising strategies in the binomial model: characterisation and convergence
Favero, Gino, (2006)
-
Modeling and valuing make-up clauses in gas swing contracts
Edoli, Enrico, (2013)
- More ...