Pricing and hedging prepayment risk in a mortgage portfolio
Emanuele Casamassima, Lech A. Grzelak, Frank A. Mulder, Cornelis W. Oosterlee
| 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 | Asset-Backed Securities | Asset-backed securities | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection | Risiko | Risk | Zins | Interest rate | Kreditrisiko | Credit risk | Risikomanagement | Risk management | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024922500169 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013371214