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A two-factor, stochastic programming model of Danish mortgage-backed securities

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  • S. Nielsen, Soren
  • Poulsen, Rolf
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    File URL: http://www.sciencedirect.com/science/article/B6V85-493PBT2-1/2/cad3f8bf7e79a3462876c83a78b7b010
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    Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

    Volume (Year): 28 (2004)
    Issue (Month): 7 (April)
    Pages: 1267-1289

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    Handle: RePEc:eee:dyncon:v:28:y:2004:i:7:p:1267-1289

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    Web page: http://www.elsevier.com/locate/jedc

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    1. Pan Kang & Stavros A. Zenios, 1992. "Complete Prepayment Models for Mortgage-Backed Securities," Management Science, INFORMS, vol. 38(11), pages 1665-1685, November.
    2. Søren Nielsen & Rolf Poulsen, 2002. "Planning Your Own Debt," European Financial Management, European Financial Management Association, vol. 8(2), pages 193-210.
    3. Robert A. Jarrow, 2009. "The Term Structure of Interest Rates," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 69-96, November.
    4. Stanton, Richard, 1995. "Rational Prepayment and the Valuation Mortgage-Backed Securities," Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 677-708.
    5. Tanggaard, Carsten, 1997. " Nonparametric Smoothing of Yield Curves," Review of Quantitative Finance and Accounting, Springer, vol. 9(3), pages 251-67, October.
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    Cited by:
    1. Rasmussen, Kourosh Marjani & Clausen, Jens, 2007. "Mortgage loan portfolio optimization using multi-stage stochastic programming," Journal of Economic Dynamics and Control, Elsevier, vol. 31(3), pages 742-766, March.
    2. Date, P. & Canepa, A. & Abdel-Jawad, M., 2011. "A mixed integer linear programming model for optimal sovereign debt issuance," European Journal of Operational Research, Elsevier, vol. 214(3), pages 749-758, November.
    3. Kourosh Rasmussen & Claus Madsen & Rolf Poulsen, 2014. "Can home-owners benefit from stochastic programming models? A study of mortgage choice in Denmark," Computational Management Science, Springer, vol. 11(1), pages 5-23, January.

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