VALUATION OF RESIDENTIAL MORTGAGE-BACKED SECURITIES WITH PROPORTIONAL HAZARD MODEL: Cumulant Expansion Approach to Pricing RMBS
| Year of publication: |
2009
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| Authors: | Ozeki, Takaaki ; Umezawa, Yuji ; Yamazaki, Akira ; Yoshikawa, Daisuke |
| Published in: |
The journal of fixed income. - New York, NY : Inst. Investor, Inc., ISSN 1059-8596, ZDB-ID 11161036. - Vol. 18.2009, 4, p. 62-77
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