Intensity-based models for pricing mortgage-backed securities with repayment risk under a CIR process

Sen Wu, Lishang Jiang and Jin Liang

Year of publication:	2012
Authors:	Wu, Sen ; Jiang, Lishang ; Liang, Jin
Published in:	International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 15.2012, 3, p. 1-17
Subject:	Prepayment \| path-dependent \| explicit characteristics difference \| Asset-Backed Securities \| Asset-backed securities \| Hypothek \| Mortgage \| Optionspreistheorie \| Option pricing theory \| CAPM \| Kredittilgung \| Loan repayment

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