Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach
نویسندگان
چکیده
منابع مشابه
Valuation of Mortgage - Backed Securities in a Distributed Environment
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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ژورنال
عنوان ژورنال: Review of Financial Studies
سال: 1997
ISSN: 0893-9454,1465-7368
DOI: 10.1093/rfs/10.2.405