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Callable mortgage bonds = numerical methods and valuation models for pricing and risk analysis /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Callable mortgage bonds/ by Niels Rom.
Reminder of title:	numerical methods and valuation models for pricing and risk analysis /
Author:	Rom, Niels.
Published:	Cham :Springer Nature Switzerland : : 2025.,
Description:	xx, 206 p. :ill., digital ;24 cm.
[NT 15003449]:	Chapter 1. Introduction -- Chapter 2. Fixed Income -- Chapter 3. Mathematical Finance -- Chapter 4. Prepayment Model Estimation -- Chapter 5. Stochastic Interest Rate Model -- Chapter 6. Simulation -- Chapter 7. Finite Difference -- Chapter 8. Semi-Analytic MBS Pricing -- Chapter 9. adjustable-rate Mortgages -- Chapter 10. Valuation of a Mortgage Credit Institute's Loan Book -- Chapter 11. Cash Settled Swaptions.
Contained By:	Springer Nature eBook
Subject:	Mortgage bonds. -
Online resource:	https://doi.org/10.1007/978-3-031-87889-3
ISBN:	9783031878893

Callable mortgage bonds = numerical methods and valuation models for pricing and risk analysis /
Rom, Niels.

Callable mortgage bondsnumerical methods and valuation models for pricing and risk analysis /[electronic resource] :by Niels Rom. - Cham :Springer Nature Switzerland :2025. - xx, 206 p. :ill., digital ;24 cm. - Finance for professionals,3059-3530. - Finance for professionals..

Chapter 1. Introduction -- Chapter 2. Fixed Income -- Chapter 3. Mathematical Finance -- Chapter 4. Prepayment Model Estimation -- Chapter 5. Stochastic Interest Rate Model -- Chapter 6. Simulation -- Chapter 7. Finite Difference -- Chapter 8. Semi-Analytic MBS Pricing -- Chapter 9. adjustable-rate Mortgages -- Chapter 10. Valuation of a Mortgage Credit Institute's Loan Book -- Chapter 11. Cash Settled Swaptions.

Callable mortgage bonds are utilized by individuals and companies to finance the purchase of real estate, and this asset class therefore plays a crucial role in modern society. Callable mortgage bonds constitute an enormous asset class and often offer long-term stable investments that are very attractive for pension funds. This book focuses on the pricing and calculation of risk numbers of callable fixed-rate mortgage bonds. Owing to the, from a financial perspective, irrational behaviour of borrowers, the pricing of these instruments usually requires the use of numerical solutions. Traditionally, it has been either a Monte Carlo simulation or a Finite Difference method. This book covers both methods and, in addition, the relatively new Fourier technique. This latter technique also creates a link between the interest rate derivatives market and the market for callable mortgage bonds. Finally, a chapter presenting a model for the valuation of a mortgage credit institute's loan book is included.

ISBN: 9783031878893

Standard No.: 10.1007/978-3-031-87889-3doiSubjects--Topical Terms:

2057513
Mortgage bonds.

LC Class. No.: HG4655

Dewey Class. No.: 332.6323

Callable mortgage bonds = numerical methods and valuation models for pricing and risk analysis /
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505 0 $a Chapter 1. Introduction -- Chapter 2. Fixed Income -- Chapter 3. Mathematical Finance -- Chapter 4. Prepayment Model Estimation -- Chapter 5. Stochastic Interest Rate Model -- Chapter 6. Simulation -- Chapter 7. Finite Difference -- Chapter 8. Semi-Analytic MBS Pricing -- Chapter 9. adjustable-rate Mortgages -- Chapter 10. Valuation of a Mortgage Credit Institute's Loan Book -- Chapter 11. Cash Settled Swaptions.
520 $a Callable mortgage bonds are utilized by individuals and companies to finance the purchase of real estate, and this asset class therefore plays a crucial role in modern society. Callable mortgage bonds constitute an enormous asset class and often offer long-term stable investments that are very attractive for pension funds. This book focuses on the pricing and calculation of risk numbers of callable fixed-rate mortgage bonds. Owing to the, from a financial perspective, irrational behaviour of borrowers, the pricing of these instruments usually requires the use of numerical solutions. Traditionally, it has been either a Monte Carlo simulation or a Finite Difference method. This book covers both methods and, in addition, the relatively new Fourier technique. This latter technique also creates a link between the interest rate derivatives market and the market for callable mortgage bonds. Finally, a chapter presenting a model for the valuation of a mortgage credit institute's loan book is included.
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650 2 4 $a Statistics in Business, Management, Economics, Finance, Insurance. $3 3538572
650 2 4 $a Financial Engineering. $3 2191344
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