Semi-analytical MBS Pricing
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DOI: 10.1007/s11146-007-9020-3
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Cited by:
- Gianluca Marcato & Giovanni Alberto Tira, 2009.
"Driving Factors in Pricing European CMBS: Bond, Mortgage and Real Estate Characteristics,"
ERES
eres2009_145, European Real Estate Society (ERES).
- Gianluca Marcato & Giovanni Alberto Tira, 2009. "Driving Factors in Pricing European CMBS: Bond, Mortgage and Real Estate Characteristics," Real Estate & Planning Working Papers rep-wp2009-04, Henley Business School, University of Reading.
- Ahmad, F. & Hambly, B.M. & Ledger, S., 2018. "A stochastic partial differential equation model for the pricing of mortgage-backed securities," Stochastic Processes and their Applications, Elsevier, vol. 128(11), pages 3778-3806.
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Keywords
Multi-factor valuation model; Mortgage backed securities; Conditional prepayment rate; Affine term structure model; Quadratic terms structure model;All these keywords.
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