KOLBE, ANDREAS; ZAGST, RUDI - In: International Journal of Theoretical and Applied … 11 (2008) 06, pp. 635-656
In this paper we present a prepayment-risk-neutral valuation model for fixed-rate Mortgage-Backed Securities. Our model is based on intensity models as used in credit-risk modeling and extends existing models for individual mortgage contracts in a proportional hazard framework. The general...