A two-factor, stochastic programming model of Danish mortgage-backed securities
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چکیده
منابع مشابه
A Two-Factor, Stochastic Programming Model of Danish Mortgage-Backed Securities
Danish mortgage loans have several features that make them interesting: Shortterm revolving adjustable-rate mortgages are available, as well as fixed-rate, 10-, 20or 30-year annuities that contain embedded options (call and delivery options). The decisions faced by a mortgagor are therefore non-trivial, both in terms of deciding on an initial mortgage, and in terms of managing (rebalancing) it ...
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Valuation of Mortgage-Backed Securities in a Distributed Environment Vladimir Surkov Master of Science Graduate Department of Computer Science University of Toronto 2004 Valuation of Mortgage-Backed Securities, regarded as integration in high dimensional space, can be readily performed using Monte Carlo method. The Quasi-Monte Carlo method, by utilizing low discrepancy sequences, has been able ...
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This article presents a new model of mortgage prepayments, based on rational decisions by mortgage holders. These mortgage holders face heterogeneous transaction costs, which are explicitly modeled. The model is estimated using a version of Hansen’s (1982) generalized method of moments, and shown to capture many of the empirical features of mortgage prepayment. Estimation results indicate that ...
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Mortgage-backed securities differ from corporate and government bonds in that their cash flows cannot be estimated with certainty, since homeowners often prepay their mortgages. Prepayments may include sale of the property, refinancing, curtailments, or liquidation of the property due to foreclosure. Standard fixed-income measurements, which allow investors to compare different types of bonds, ...
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We study the optimal stopping problems embedded in a typical mortgage. Despite a possible non-rational behaviour of the typical borrower of a mortgage, the problem is worth to be solved for the lender to hedge against the prepayment risk, and because many mortgage-backed securities pricing model incorporate this suboptimality via a so-called prepayment function which can depend, at time t, on t...
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ژورنال
عنوان ژورنال: Journal of Economic Dynamics and Control
سال: 2004
ISSN: 0165-1889
DOI: 10.1016/s0165-1889(03)00115-5