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An optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve

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  • Huang, Dashan
  • Kai, Yoshitaka
  • Fabozzi, Frank J.
  • Fukushima, Masao

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File URL: http://www.sciencedirect.com/science/article/B6VCT-4JJ87VY-1/2/80e8e037c077cb3735ab1a8508286a17
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Bibliographic Info

Article provided by Elsevier in its journal European Journal of Operational Research.

Volume (Year): 177 (2007)
Issue (Month): 2 (March)
Pages: 1134-1152

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Handle: RePEc:eee:ejores:v:177:y:2007:i:2:p:1134-1152

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

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  1. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
  2. Kau, James B, et al, 1992. "A Generalized Valuation Model for Fixed-Rate Residential Mortgages," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 24(3), pages 279-99, August.
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Cited by:
  1. Poulsen, Rolf & Rasmussen, Kourosh Marjani, 2008. "Financial Giffen goods: Examples and counterexamples," European Journal of Operational Research, Elsevier, vol. 191(2), pages 572-576, December.

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