Modelling of mortgage prepayment and the valuation of mortgage-backed securities
While option-theoretic models are widely used in valuation of other fixed-income instruments, their applications for the valuation of mortgage-backed securities face challenges. Mortgages are explicitly written with a call option, which allows mortgagors to prepay their mortgages any time before the...
| Main Author: | |
|---|---|
| Published: |
University of Surrey
2011
|
| Subjects: | |
| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.551258 |