Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach
Author:
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance,Accounting
Link
http://academic.oup.com/rfs/article-pdf/10/2/405/5464004/100405.pdf
Reference25 articles.
1. Nonparametric Pricing of Interest Rate Derivative Securities
2. Bartlett W. W. , 1989, Mortgage-Backed Securities: Products, Analysis, Trading, New York Institute of Finance, New York.
3. A New Strategy for Dynamically Hedging Mortgage-Backed Securities
4. Risk, Return, and Hedging of Fixed-Rate Mortgages
5. Determinants of GNMA Mortgage Prices
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