INTENSITY-BASED MODELS FOR PRICING MORTGAGE-BACKED SECURITIES WITH REPAYMENT RISK UNDER A CIR PROCESS
2012 ◽
Vol 15
(03)
◽
pp. 1250021
◽
Keyword(s):
Under a reduced-form framework, we establish models for pricing mortgage-backed securities with prepayment risk by introducing a stochastic prepayment factor. In the zero-default scenario, the pricing pass-through securities and sequential-pay collateralized mortgage obligation structures are considered. To solve the problems, we introduce a path-dependent variable, from which partial differential equation problems are obtained when the prepayment rate is modeled by a CIR process. Numerical solution to the pricing problem is obtained by developing an explicit characteristics difference scheme.
Using Difference Scheme Method for the Numerical Solution of Telegraph Partial Differential Equation
2017 ◽
Vol 4
(ICBS Conference)
◽
pp. 157-163
◽
2020 ◽
Vol 4
(1)
◽
pp. 147-157
◽
1992 ◽
pp. 323-328
2019 ◽
Vol 160
◽
pp. 138-154
◽