Mortgages and Markov Chains: A Simplified Evaluation Model

This paper has two purposes. The first is purely expository: to introduce stochastic interest-rate models and security-evaluation methods in a simple mathematical setting. Specifically, we assume the uncertainties in the model are represented by a discrete-time, finite-state Markov chain. Second, using this framework, we present a relatively simple model for the evaluation of mortgage-backed securities.

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Year of publication:	1993
Authors:	Zipkin, Paul
Published in:	Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 39.1993, 6, p. 683-691
Publisher:	Institute for Operations Research and the Management Sciences - INFORMS
Subject:	finance \| stochastic models

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Extent:	application/pdf
Type of publication:	Article
Other identifiers:	10.1287/mnsc.39.6.683 [DOI]
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009197813