Valuation of Mortgage-Backed Securities and Mortgage Derivatives: A Closed-Form Approximation
Year of publication: |
2009
|
---|---|
Authors: | Kolbe, Andreas ; Zagst, Rudi |
Published in: |
Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 16.2009, 5, p. 401-427
|
Publisher: |
Taylor & Francis Journals |
Subject: | Mortgage-backed security | prepayment | closed-form | risk-neutral pricing |
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