Callable Mortgage Bonds : Numerical Methods and Valuation Models for Pricing and Risk Analysis / / by Niels Rom
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| Autore: |
Rom Niels
|
| Titolo: |
Callable Mortgage Bonds : Numerical Methods and Valuation Models for Pricing and Risk Analysis / / by Niels Rom
|
| Pubblicazione: | Cham : , : Springer Nature Switzerland : , : Imprint : Springer, , 2025 |
| Edizione: | 1st ed. 2025. |
| Descrizione fisica: | 1 online resource (XX, 206 p. 43 illus.) |
| Disciplina: | 332.0415 |
| Soggetto topico: | 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 | |
| Nota di contenuto: | 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. |
| Sommario/riassunto: | 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. . |
| Titolo autorizzato: | Callable Mortgage Bonds |
| ISBN: | 9783031878893 |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9911002558603321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
Finance for Professionals, . 3059-3530