Callable Mortgage Bonds
Numerical Methods and Valuation Models for Pricing and Risk Analysis
Springer
ISBN 978-3-031-87888-6
Standardpreis
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
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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