Rom

Erschienen: 10.05.2025

Callable Mortgage Bonds

Numerical Methods and Valuation Models for Pricing and Risk Analysis

Springer

ISBN 978-3-031-87888-6

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Bibliografische Daten

Fachbuch

Buch. Hardcover

2025

43 s/w-Abbildungen.

In englischer Sprache

Umfang: xx, 206 S.

Format (B x L): 15,5 x 23,5 cm

Verlag: Springer

ISBN: 978-3-031-87888-6

Produktbeschreibung

Callable mortgage bonds are utilized by individuals and companies to finance the purchase of real estate, and this asset class therefore plays a crucial role in modern society. Callable mortgage bonds constitute an enormous asset class and often offer long-term stable investments that are very attractive for pension funds.



This book focuses on the pricing and calculation of risk numbers of callable fixed-rate mortgage bonds. Owing to the, from a financial perspective, irrational behaviour of borrowers, the pricing of these instruments usually requires the use of numerical solutions. Traditionally, it has been either a Monte Carlo simulation or a Finite Difference method. This book covers both methods and, in addition, the relatively new Fourier technique. This latter technique also creates a link between the interest rate derivatives market and the market for callable mortgage bonds. Finally, a chapter presenting a model for the valuation of a mortgage credit institute’s loan book is included.

Autorinnen und Autoren

Kundeninformationen

Contains all the necessary steps on how to build a callable mortgage bond pricing framework Presents step-by-step derivations of used formulas Includes algorithms enabling own implementation for professionals

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