Rom-Poulsen, Niels - In: The Journal of Real Estate Finance and Economics 34 (2007) 4, pp. 463-498
This paper presents a multi-factor valuation model for fixed-rate callable mortgage backed securities (MBS). The model yields semi-analytic solutions for the value of MBS in the sense that the MBS value is found by solving a system of ordinary differential equations. Instead of modelling the...