Valuation of mortgage pass-through securities with partial prepayment risk-Reference-Cited by-同舟云学术

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Valuation of mortgage pass-through securities with partial prepayment risk

Published:2020-10-16 Issue: Volume: Page:1-22
ISSN:0361-0926
Container-title:Communications in Statistics - Theory and Methods
language:en
Short-container-title:Communications in Statistics - Theory and Methods

Author:

Zhou Congjin¹,Wang Guojing¹,Liu Liang²,Guo Jie³

Affiliation:

1. The Center for Financial Engineering, Soochow University, Suzhou, People’s Republic of China

2. Business School, Soochow University, Suzhou, People’s Republic of China

3. School of Mathematics and Physics, Suzhou University of Science and Technology, Suzhou, People’s Republic of China

Funder

National Natural Science Foundation of China

Postgraduate Research & Practice Innovation Program of Jiangsu Province

Humanities and Social Science Research Projects in Ministry of Education

Publisher

Informa UK Limited

Subject

Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610926.2020.1833222

Reference22 articles.

1. AMERICAN OPTIONS WITH REGIME SWITCHING

2. Determinants of GNMA Mortgage Prices

3. Computing multiple integrals involving matrix exponentials

4. Undergraduate Research: Mathematical Modeling of Mortgages

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