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Record Nr. |
UNINA9911002558603321 |
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Autore |
Rom Niels |
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Titolo |
Callable Mortgage Bonds : Numerical Methods and Valuation Models for Pricing and Risk Analysis / / by Niels Rom |
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Pubbl/distr/stampa |
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Cham : , : Springer Nature Switzerland : , : Imprint : Springer, , 2025 |
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ISBN |
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Edizione |
[1st ed. 2025.] |
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Descrizione fisica |
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1 online resource (XX, 206 p. 43 illus.) |
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Collana |
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Finance for Professionals, , 3059-3530 |
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Disciplina |
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Soggetti |
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Capital market |
Financial risk management |
Social sciences - Mathematics |
Statistics |
Financial engineering |
Capital Markets |
Risk Management |
Mathematics in Business, Economics and Finance |
Statistics in Business, Management, Economics, Finance, Insurance |
Financial Engineering |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Nota di contenuto |
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Chapter 1. Introduction -- Chapter 2. Fixed Income -- Chapter 3. Mathematical Finance -- Chapter 4. Prepayment Model Estimation -- Chapter 5. Stochastic Interest Rate Model -- Chapter 6. Simulation -- Chapter 7. Finite Difference -- Chapter 8. Semi-Analytic MBS Pricing -- Chapter 9. adjustable-rate Mortgages -- Chapter 10. Valuation of a Mortgage Credit Institute’s Loan Book -- Chapter 11. Cash Settled Swaptions. |
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Sommario/riassunto |
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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. |
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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. . |
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