Valuation of residential mortgage-backed securities with proportional hazard model : cumulant expansion approach to pricing RMBS
Year of publication: |
2008
|
---|---|
Authors: | Ozeki, Takaaki ; Umezawa, Yuji ; Yamazaki, Akira ; Yoshikawa, Daisuke |
Published in: |
The journal of fixed income. - London : IPR Journals, ISSN 1059-8596, ZDB-ID 1116103-6. - Vol. 18.2008/09, 4, p. 62-77
|
Subject: | Hypothek | Mortgage | Asset-Backed Securities | Asset-backed securities | Theorie | Theory | Verbriefung | Securitization |
-
The design of subprime mortgage-backed securities and information insensitivity
Park, Sunyoung, (2013)
-
Implied prepayment in agency passing-through mortgage backed securities
Shao, Haimei, (2017)
-
Valuation of mortgage-backed securities based on unobservable prepayment costs
Nakagawa, Hidetoshi, (2004)
- More ...
-
Ozeki, Takaaki, (2009)
-
An Extension of CreditGrades Model Approach with Levy Processes
Ozeki, Takaaki, (2011)
-
Ozeki, Takaaki, (2010)
- More ...