A two-factor, stochastic programming model of Danish mortgage-backed securities
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Volume (Year): 28 (2004)
Issue (Month): 7 (April)
Pages: 1267-1289
| Handle: | RePEc:eee:dyncon:v:28:y:2004:i:7:p:1267-1289 |
| Contact details of provider: | Web page: http://www.elsevier.com/locate/jedc
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References listed on IDEAS
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- Søren Nielsen & Rolf Poulsen, 2002. "Planning Your Own Debt," European Financial Management, European Financial Management Association, vol. 8(2), pages 193-210.
- Pan Kang & Stavros A. Zenios, 1992. "Complete Prepayment Models for Mortgage-Backed Securities," Management Science, INFORMS, vol. 38(11), pages 1665-1685, November.
- Robert A. Jarrow, 2009. "The Term Structure of Interest Rates," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 69-96, November.
- 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.
- 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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