Pricing and hedging prepayment risk in a mortgage portfolio
Year of publication: |
2022
|
---|---|
Authors: | Casamassima, Emanuele ; Grzelak, Lech A. ; Mulder, Frank A. ; Oosterlee, Cornelis Willebrordus |
Published in: |
International journal of theoretical and applied finance : IJTAF. - Singapore : World Scientific, ZDB-ID 2027376-9. - Vol. 25.2022, 4/5, Art.-No. 2250016, p. 1-37
|
Subject: | conditional prepayment rate | CPR | hedging | mortgages | Prepayment risk | Hypothek | Mortgage | Hedging | Kreditrisiko | Credit risk | Risiko | Risk | Portfolio-Management | Portfolio selection |
-
Prepayment risk on callable bonds : theory and test
François, Pascal, (2015)
-
California wildfires, property damage, and mortgage repayment
Biswas, Siddhartha, (2023)
-
Lenders' pricing strategy : do neighborhood risks matter?
Agarwal, Sumit, (2023)
- More ...
-
Liu, Shuaiqiang, (2022)
-
Oosterlee, Cornelis Willebrordus, (2020)
-
From arbitrage to arbitrage-free implied volatilities
Grzelak, Lech A., (2017)
- More ...