A two-factor, stochastic programming model of Danish mortgage-backed securities
No abstract is available for this item.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Søren Nielsen & Rolf Poulsen, 2002. "Planning Your Own Debt," European Financial Management, European Financial Management Association, vol. 8(2), pages 193-210.
- Robert A. Jarrow, 2009. "The Term Structure of Interest Rates," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 69-96, November.
- Pan Kang & Stavros A. Zenios, 1992. "Complete Prepayment Models for Mortgage-Backed Securities," Management Science, INFORMS, vol. 38(11), pages 1665-1685, November.
- Tanggaard, Carsten, 1997. "Nonparametric Smoothing of Yield Curves," Review of Quantitative Finance and Accounting, Springer, vol. 9(3), pages 251-67, October.
- 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.
When requesting a correction, please mention this item's handle: RePEc:eee:dyncon:v:28:y:2004:i:7:p:1267-1289. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If references are entirely missing, you can add them using this form.